Yanis Belkacem - Latest

• Repo transaction costs and balance sheet frictions

  Staff analytical paper 2026-10 Yanis Belkacem, Fabienne Schneider, Adrian Walton

  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.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): G, G1, G10, G12, G2, G20 Research Theme(s): Financial markets and funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk