Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122081
Authors: 
Daskalaki, Charoula
Skiadopoulos, George
Year of Publication: 
2014
Series/Report no.: 
Working Paper, School of Economics and Finance, Queen Mary, University of London 736
Abstract: 
In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account. Certain effects of margin changes diffuse across related markets though. Our results are robust to endogenously set margins by the exchanges.
Subjects: 
Commodities
Hedging
Market liquidity
Margins
Speculators
JEL: 
G10
G14
G18
G28
Document Type: 
Working Paper

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