IDEAS home Printed from https://ideas.repec.org/p/bca/bocsap/26-10.html

Repo transaction costs and balance sheet frictions

Author

Listed:
  • Yanis Belkacem
  • Fabienne Schneider
  • Adrian Walton

Abstract

We develop an approach to quantify transaction costs in the repo market using OTC transaction data, where quoted bid-ask spreads are not observable. By estimating effective spreads at the level of individual trades, we construct a novel metric to evaluate intermediation costs across different segments of the market. Effective spreads function as a high-frequency gauge of market conditions and functioning. They are particularly informative about balance sheet pressures, as reflected in recurring year-end spikes and elevated levels during the early stages of the COVID-19 pandemic. They offer complementary information to cash market spreads and provide a useful tool for further analysis of monetary policy transmission and the behavior of market participants.

Suggested Citation

  • Yanis Belkacem & Fabienne Schneider & Adrian Walton, 2026. "Repo transaction costs and balance sheet frictions," Staff Analytical Papers 2026-10, Bank of Canada.
    • Handle: RePEc:bca:bocsap:26-10
    DOI: 10.34989/sap-2026-10
    as

    Download full text from publisher

    File URL: https://doi.org/10.34989/sap-2026-10
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.34989/sap-2026-10?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocsap:26-10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.