The mission of the Office of the Chief Economist (OCE) of the Commodity Futures Trading Commission (CFTC) is to conduct rigorous economic and econometric analysis of derivatives markets; to foster market transparency by disseminating its research to market participants and the general public; and to partner with other CFTC divisions and offices to integrate economic reasoning and data analysis into Commission policy and cost-benefit considerations.
A list of the current members of the Office of the Chief Economists can be found on our Biographies page, which includes backgrounds as well as research interests. The office is led by Scott Mixon (Acting Chief Economist).
Which Witch is Which? Deconstructing the FX Markets Activity (Orlov, Alexei, Sharma, Rajiv).
- The paper provides a comprehensive overview of the activity in the foreign exchange (FX) derivatives markets, including futures, swaps, and options.
- We analyze the behavior of various market participant groups before, during, and in the aftermath of the COVID-related market stress.
- Certain client sectors (e.g., sovereigns and hedge funds), along with dealers, stepped in to provide USD liquidity in March 2020 by significantly increasing their long-USD swap positions.
- Client sectors are heterogeneous with respect to their liquidity needs and their aggregate positions are small compared to dealer inventories.
- The paper also highlights the heterogeneity of firms within a client sector by focusing on hedge funds’ USD/Euro swap positions—the most active client sector and currency pair in our data.
- FX dealers follow largely similar strategies, are competitive, and engage in multilateral netting arrangements to significantly reduce their risk exposure.
For older research projects, please visit our Research Papers website.