Details about Sergio Mayordomo

Access statistics for papers by Sergio Mayordomo.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: pma1884

Working Papers

2025

1. Banks vs. Firms: Who Benefits from Credit Guarantees?
   Working Papers, Banco de España
   Also in Working Papers, Barcelona School of Economics (2023) View citations (1)
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2025) View citations (1)
2. Household Heterogeneity and the Lending Channel of Monetary Policy
   Working Papers, Banco de España

2024

3. Access to credit and firm survival during a crisis: the case of zero-bank-debt firms
   Working Papers, Banco de España
   See also Journal Article Access to credit and firm survival during a crisis: The case of zero-bank-debt firms, Journal of Financial Intermediation, Elsevier (2024) (2024)
4. How do changes in financial reporting standards affect relationship lending?
   Working Papers, Banco de España

2023

5. An estimation of the default probabilities of Spanish non-financial corporations and their application to evaluate public policies
   Occasional Papers, Banco de España
6. Climate Risk, Soft Information, and Credit Supply
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
7. Evidence on the impact of the public guarantee and direct aid schemes on Spanish firms during the covid-19 crisis
   Occasional Papers, Banco de España
8. Evidencia sobre el alcance de los programas de garantías públicas y de ayudas directas a las empresas españolas implementados durante la crisis del COVID 19
   Occasional Papers, Banco de España
9. Individual and sectoral analysis framework for the impact of economic and financial risks
   Occasional Papers, Banco de España
10. La traslación de los tipos de interés de mercado a los tipos de interés bancarios
    Occasional Papers, Banco de España
11. Marco de análisis individual y sectorial del impacto de los riesgos económicos y financieros
    Occasional Papers, Banco de España
12. The pass-through of market interest rates to bank interest rates
    Occasional Papers, Banco de España

2022

13. Are all Credit Default Swap Databases equal?
    Papers, arXiv.org
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (47)
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department (2010) View citations (28)
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2010) View citations (31)
    See also Journal Article Are All Credit Default Swap Databases Equal?, European Financial Management, European Financial Management Association (2014) View citations (37) (2014)
14. Corporate financing in fixed-income markets: the contribution of monetary policy to lowering the size barrier
    Occasional Papers, Banco de España
15. Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
    Papers, arXiv.org
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) View citations (4)
    See also Journal Article Derivatives holdings and systemic risk in the U.S. banking sector, Journal of Banking & Finance, Elsevier (2014) View citations (51) (2014)
16. Distressed firms, zombie firms and zombie lending: a taxonomy
    Working Papers, Banco de España View citations (2)
    See also Journal Article Distressed firms, zombie firms and zombie lending: A taxonomy, Journal of Banking & Finance, Elsevier (2023) View citations (12) (2023)
17. Enforcing Mandatory Reporting on Private Firms: The Role of Banks
    Working Papers, Banco de España View citations (1)
18. La financiación empresarial en los mercados de renta fija: la contribución de la política monetaria a mitigar la barrera del tamaño
    Occasional Papers, Banco de España
19. Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain
    Papers, arXiv.org
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) View citations (1)
    See also Journal Article Portfolio choice with indivisible and illiquid housing assets: the case of Spain, Quantitative Finance, Taylor & Francis Journals (2014) View citations (4) (2014)

2021

20. Adapting lending policies in a “negative-for-long” scenario
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
21. El impacto de la crisis del COVID-19 sobre la vulnerabilidad financiera de las empresas españolas
    Occasional Papers, Banco de España
22. Impact of the COVID-19 crisis on Spanish firms’ financial vulnerability
    Occasional Papers, Banco de España View citations (1)
23. Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities
    Occasional Paper Series, European Central Bank View citations (7)

2020

24. Adapting lending policies in a “negative-for-long” scenario (Updated October 2020)
    Working Papers, Banco de España View citations (20)
25. Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in BIS Working Papers, Bank for International Settlements (2020) View citations (3)
    Working Papers, Banco de España (2020) View citations (2)
26. Las necesidades de liquidez y la solvencia de las empresas no financieras españolas tras la perturbación del Covid-19
    Occasional Papers, Banco de España
27. Spanish non-financial corporations’ liquidity needs and solvency after the covid-19 shock
    Occasional Papers, Banco de España View citations (5)
28. The China syndrome affects banks: the credit supply channel of foreign import competition (Updated February 2020)
    Working Papers, Banco de España
29. The Impact of Alternative Forms of Bank Consolidation on Credit Supply and Financial Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Working Papers, Banco de España (2020) View citations (2)

2019

30. Bank Capital Requirements, Loan Guarantees and Firm Performance
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
    See also Journal Article Bank capital requirements, loan guarantees and firm performance, Journal of Financial Intermediation, Elsevier (2021) View citations (9) (2021)

2017

31. "Keeping it personal" or "getting real"? On the drivers and effectiveness of personal versus real loan guarantees
    Working Papers, Banco de España View citations (5)
32. Dealing with dealers: sovereign CDS comovements
    Working Papers, Banco de España View citations (3)
    See also Journal Article Dealing with dealers: Sovereign CDS comovements, Journal of Banking & Finance, Elsevier (2018) View citations (3) (2018)
33. Did the bank capital relief induced by the supporting factor enhance SME lending?
    Working Papers, Banco de España
    See also Journal Article Did the bank capital relief induced by the Supporting Factor enhance SME lending?, Journal of Financial Intermediation, Elsevier (2018) View citations (17) (2018)
34. Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE
    Working Papers, Banco de España View citations (22)
    See also Journal Article Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE*, Review of Finance, European Finance Association (2021) View citations (13) (2021)

2014

35. Short-sale constraints and financial stability: Evidence from the Spanish market
    Working Papers, Banco de España View citations (3)

2013

36. Fragmentation in European Financial Markets: Measures, Determinants, and Policy Solutions
    Working Papers, BBVA Bank, Economic Research Department View citations (8)

2012

37. Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (11)
    See also Journal Article Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis, Journal of International Money and Finance, Elsevier (2013) View citations (71) (2013)
38. Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department View citations (1)
39. Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (12)
    See also Journal Article Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis, International Review of Economics & Finance, Elsevier (2014) View citations (11) (2014)
40. Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2011

41. A New Test of Statistical Arbitrage with Applications to Credit Derivatives Markets
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department View citations (3)
42. Towards a common European Monetary Union risk free rate
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (6)

2010

43. The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department View citations (1)
    See also Journal Article The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress, The European Journal of Finance, Taylor & Francis Journals (2011) View citations (15) (2011)

2009

44. Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (5)

Journal Articles

2024

1. A new estimation of default probabilities based on non-performing loans
   Finance Research Letters, 2024, 62, (PB) View citations (1)
2. Access to credit and firm survival during a crisis: The case of zero-bank-debt firms
   Journal of Financial Intermediation, 2024, 59, (C)
   See also Working Paper Access to credit and firm survival during a crisis: the case of zero-bank-debt firms, Working Papers (2024) (2024)
3. Bank Regulatory Capital Arbitrage: Evidence from Housing Overappraisals
   Management Science, 2024, 70, (4), 2255-2271

2023

4. Distressed firms, zombie firms and zombie lending: A taxonomy
   Journal of Banking & Finance, 2023, 149, (C) View citations (12)
   See also Working Paper Distressed firms, zombie firms and zombie lending: a taxonomy, Working Papers (2022) View citations (2) (2022)

2022

5. Evolución reciente del crédito a las sociedades no financieras: factores de demanda y de oferta
   Boletín Económico, 2022, (1/2022)
6. Recent developments in lending to non-financial corporations: supply and demand factors
   Economic Bulletin, 2022, (1/2022)
7. The China Syndrome Affects Banks: The Credit Supply Channel of Foreign Import Competition
   Journal of Financial and Quantitative Analysis, 2022, 57, (8), 3114-3144

2021

8. Bank capital requirements, loan guarantees and firm performance
   Journal of Financial Intermediation, 2021, 45, (C) View citations (9)
   See also Working Paper Bank Capital Requirements, Loan Guarantees and Firm Performance, Swiss Finance Institute Research Paper Series (2019) View citations (3) (2019)
9. Dollar borrowing, firm credit risk, and FX-hedged funding opportunities
   Journal of Corporate Finance, 2021, 68, (C) View citations (3)
10. How do European banks cope with macroprudential capital requirements
    Finance Research Letters, 2021, 38, (C) View citations (3)
11. Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE*
    (Whatever it takes: the real effects of unconventional monetary policy)
    Review of Finance, 2021, 25, (1), 43-84 View citations (13)
    See also Working Paper Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE, Working Papers (2017) View citations (22) (2017)

2020

12. Developments in the collective investment industry in Spain between 2008 and 2019
    Economic Bulletin, 2020, (4/2020)
13. El impacto de la crisis del Covid-19 sobre la situación financiera de las empresas no financieras en 2020: evidencia basada en la Central de Balances
    Boletín Económico, 2020, (4/2020) View citations (6)
14. Evolución de la industria de la inversión colectiva en España entre 2008 y 2019
    Boletín Económico, 2020, (4/2020)
15. Evolución reciente de la financiación y del crédito bancario al sector privado no financiero
    Boletín Económico, 2020, (4/2020)
16. Mutual Funding
    The Review of Financial Studies, 2020, 33, (10), 4883-4915 View citations (1)
17. Recent developments in financing and bank lending to the non-financial private sector
    Economic Bulletin, 2020, (4/2020)
18. Retos asociados al uso de las calificaciones crediticias de las agencias en el contexto de la crisis del Covid-19
    Revista de Estabilidad Financiera, 2020, (Otoño)
19. The challenges associated with the use of agencies’ credit ratings in the context of the COVID-19 crisis
    Financial Stability Review, 2020, (Autumn)
20. The impact of the Covid-19 crisis on the financial position of non-financial corporations in 2020: CBSO-based evidence
    Economic Bulletin, 2020, (4/2020) View citations (2)

2019

21. Adapting lending policies against a background of negative interest rates
    Economic Bulletin, 2019, (MAR)
22. Ajustes de las políticas crediticias en un contexto de tipos de interés negativos
    Boletín Económico, 2019, (MAR)

2018

23. Borrowing constraints and housing price expectations in the euro area
    Economic Modelling, 2018, 72, (C), 410-421 View citations (3)
24. Dealing with dealers: Sovereign CDS comovements
    Journal of Banking & Finance, 2018, 90, (C), 96-112 View citations (3)
    See also Working Paper Dealing with dealers: sovereign CDS comovements, Working Papers (2017) View citations (3) (2017)
25. Did the bank capital relief induced by the Supporting Factor enhance SME lending?
    Journal of Financial Intermediation, 2018, 36, (C), 45-57 View citations (17)
    See also Working Paper Did the bank capital relief induced by the supporting factor enhance SME lending?, Working Papers (2017) (2017)
26. Disentangling the Effects of Household Financial Constraints and Risk Profile on Mortgage Rates
    The Journal of Real Estate Finance and Economics, 2018, 56, (1), 76-100 View citations (2)
27. Los efectos del programa de compra de bonos corporativos del Eurosistema sobre las empresas españolas
    Boletín Económico, 2018, (MAR)
28. The effects of the Eurosystem’s corporate sector purchase programme on Spanish companies
    Economic Bulletin, 2018, (MAR) View citations (8)

2017

29. When does relationship lending start to pay?
    Journal of Financial Intermediation, 2017, 31, (C), 16-29 View citations (44)

2016

30. Does central clearing benefit risky dealers?
    Journal of International Financial Markets, Institutions and Money, 2016, 42, (C), 91-100 View citations (5)
31. El programa de compras de bonos corporativos del Eurosistema y su efecto sobre la financiación ajena de las Sociedades no financieras españolas
    Boletín Económico, 2016, (NOV), 47-53
32. The Impact of the 2011 Short†Sale Ban on Financial Stability: Evidence from the Spanish Stock Market
    European Financial Management, 2016, 22, (5), 1001-1022 View citations (2)

2015

33. Fragmentation in the European interbank market: Measures, determinants, and policy solutions
    Journal of Financial Stability, 2015, 16, (C), 1-12 View citations (37)
34. Towards a common Eurozone risk free rate
    The European Journal of Finance, 2015, 21, (12), 1005-1022 View citations (1)

2014

35. An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives
    Applied Financial Economics, 2014, 24, (9), 605-619 View citations (6)
36. Are All Credit Default Swap Databases Equal?
    European Financial Management, 2014, 20, (4), 677-713 View citations (37)
    See also Working Paper Are all Credit Default Swap Databases equal?, Papers (2022) (2022)
37. Derivatives holdings and systemic risk in the U.S. banking sector
    Journal of Banking & Finance, 2014, 45, (C), 84-104 View citations (51)
    See also Working Paper Derivatives Holdings and Systemic Risk in the U.S. Banking Sector, Papers (2022) (2022)
38. Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis
    International Review of Economics & Finance, 2014, 31, (C), 171-192 View citations (11)
    See also Working Paper Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis, Faculty Working Papers (2012) View citations (12) (2012)
39. Portfolio choice with indivisible and illiquid housing assets: the case of Spain
    Quantitative Finance, 2014, 14, (11), 2045-2064 View citations (4)
    See also Working Paper Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain, Papers (2022) (2022)

2013

40. Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis
    Journal of International Money and Finance, 2013, 35, (C), 124-145 View citations (71)
    See also Working Paper Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis, Faculty Working Papers (2012) View citations (11) (2012)

2011

41. The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress
    The European Journal of Finance, 2011, 17, (9-10), 851-881 View citations (15)
    See also Working Paper The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress, CNMV Working Papers (2010) View citations (1) (2010)
42. Trademark activity and the market performance of U.S. commercial banks
    Journal of Business Economics and Management, 2011, 13, (5), 931-950 View citations (5)

2008

43. ¿Afectan las restricciones financieras al régimen de tenencia de vivienda?
    Investigaciones Economicas, 2008, 32, (3), 289-324 View citations (3)