Repo market networks: dynamics under financial stress

Vanessa Schöller

No 3205, Working Paper Series from European Central Bank

Abstract: The smooth functioning of the repo market is essential to financial stability. However, the market has faced repeated episodes of stress in recent years. This paper examines the resilience of the euro-denominated repo market during recent episodes of elevated financial stress, drawing on transaction-level data and applying network analysis. The institutional repo network displays a core–periphery structure, with connectivity intensifying during stress periods. At the sectoral level, trading volumes and repo spreads remain broadly stable. For the euro repo market as a whole, financial stress is associated with lower spreads, consistent with the interpretation that the market functions as a shock absorber. JEL Classification: G01, G21, G23, E44

Keywords: haircuts; network analysis; non-banks; repo spreads (search for similar items in EconPapers)
Date: 2026-03
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20263205

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