摘要
金融危机发生之后,CFTC将原有的交易商持仓报告(Commitment of Traders,简称“COT”)进行了扩容,新版的COT报告包含现货交易商、互换交易商、管理基金的持仓情况。分析c0MEx铜和NYMEX~.油的cOT报告,可以发现,互换交易商的持仓占比最高,超过30%;具有现货背景的套期保值持仓保持一定比例,大约为20%-50%。现货交易商持仓占比的增加,有助于缓解价格的波动;而互换交易商持仓占比的提高,却加剧了市场的波动。由于互换交易商享有投机持仓豁免的权利,金融危机发生后,CFTC对互换交易商的监管更趋严格。
After the financial crisis, CFTC extended COT report and the new report includes information about trading activities of producer/merchant/processor/user, swap dealers and managed money. By analysis on new COT report of copper future traded in COMEX and WTI in NYMEX, we conclude that open interest proportion of swap dealer is highest and the proportion of hedge proportion based on cash market is about 20% to 50%. If the open interest proportion of producer/merchant/processor/user is increased, the market volatility is reduced and if the open interest proportion of swap dealers is increased, the market volatility is increased. Because of swaps exemption from federal speculative position limits, the regulation of swap dealer is more and more rigorous.
出处
《证券市场导报》
CSSCI
北大核心
2012年第6期59-62,共4页
Securities Market Herald