New regulatory authority over significant price discovery contracts: An example of natural gas swaps with econometric applications

Ronald A. Babula and Gregory K. Price

Journal of Policy Modeling, 2012, vol. 34, issue 3, 372-388

Abstract: This study details the U.S. Commodity Futures Trading Commission's significant price discovery regulatory authority over exempt, over-the-counter contracts, as introduced in 2008. A vector autoregressive model is used to conclude that three cash-settled natural gas contracts traded on the IntercontinentalExchange are significant price discovery contracts (SPDCs). Thus, this study demonstrates the methods’ use in analyzing the new financial policy authority and other similar and evolving policies. The paper also discusses some of the policy implications of the SPDC determinations. Lastly, the authors address the transition of the Commission's SPDC authority as a result of the passage of the Dodd–Frank Wall Street Reform and Consumer Protection Act, which was signed into law in July 2010.

Keywords: Significant price discovery contracts; Natural gas; Exempt commercial markets; Time series methods; Vector autoregression (search for similar items in EconPapers)
JEL-codes: C22 E47 G18 Q48 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:34:y:2012:i:3:p:372-388

DOI: 10.1016/j.jpolmod.2011.12.004

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