Mission Statement
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).
Featured Research
Do Banks Hedge Using Interest Rate Swaps? (Lihong McPhail, Philipp Schnabl, Bruce Tuckman)
- Our study examines whether U.S. banks use interest rate swaps to hedge the interest rate risk of their loans and securities.
- Data from the largest 250 U.S. banks show that the average bank has a large notional amount of swaps, more than 10 times its assets.
- However, after accounting for offsetting swap positions, the average bank has almost no exposure to interest rate risk from its swap positions.
- While there is some variation across banks, with some bank swap positions decreasing and some increasing with rates, but aggregating swap positions at the level of the banking system reveals that most swap exposure are offsetting.
- Therefore, as a description of prevailing practice, we conclude that swap positions are not economically significant in hedging the interest rate risk of bank assets.
For older research projects, please visit our Research Papers website.