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Details about Sergio Mayordomo

Homepage:http://sergiomayordomo.wordpress.com/
Workplace:Banco de España (Bank of Spain), (more information at EDIRC)

Access statistics for papers by Sergio Mayordomo.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: pma1884


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Working Papers

2023

  1. An estimation of the default probabilities of Spanish non-financial corporations and their application to evaluate public policies
    Occasional Papers, Banco de España Downloads
  2. Banks vs. Firms: Who Benefits from Credit Guarantees?
    Working Papers, Barcelona School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2023) Downloads
  3. 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 Downloads
  4. 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 Downloads
  5. Individual and sectoral analysis framework for the impact of economic and financial risks
    Occasional Papers, Banco de España Downloads
  6. La traslación de los tipos de interés de mercado a los tipos de interés bancarios
    Occasional Papers, Banco de España Downloads
  7. Marco de análisis individual y sectorial del impacto de los riesgos económicos y financieros
    Occasional Papers, Banco de España Downloads
  8. The pass-through of market interest rates to bank interest rates
    Occasional Papers, Banco de España Downloads

2022

  1. Are all Credit Default Swap Databases equal?
    Papers, arXiv.org Downloads
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2010) Downloads View citations (31)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (47)
    CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department (2010) Downloads View citations (28)

    See also Journal Article Are All Credit Default Swap Databases Equal?, European Financial Management, European Financial Management Association (2014) Downloads View citations (35) (2014)
  2. Corporate financing in fixed-income markets: the contribution of monetary policy to lowering the size barrier
    Occasional Papers, Banco de España Downloads
  3. Derivatives Holdings and Systemic Risk in the U.S. Banking Sector
    Papers, arXiv.org Downloads
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads View citations (4)

    See also Journal Article Derivatives holdings and systemic risk in the U.S. banking sector, Journal of Banking & Finance, Elsevier (2014) Downloads View citations (46) (2014)
  4. Distressed firms, zombie firms and zombie lending: a taxonomy
    Working Papers, Banco de España Downloads View citations (2)
    See also Journal Article Distressed firms, zombie firms and zombie lending: A taxonomy, Journal of Banking & Finance, Elsevier (2023) Downloads View citations (6) (2023)
  5. Enforcing Mandatory Reporting on Private Firms: The Role of Banks
    Working Papers, Banco de España Downloads View citations (1)
  6. 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 Downloads
  7. Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain
    Papers, arXiv.org Downloads
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads 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) Downloads View citations (4) (2014)

2021

  1. Adapting lending policies in a “negative-for-long” scenario
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
  2. El impacto de la crisis del COVID-19 sobre la vulnerabilidad financiera de las empresas españolas
    Occasional Papers, Banco de España Downloads
  3. Impact of the COVID-19 crisis on Spanish firms’ financial vulnerability
    Occasional Papers, Banco de España Downloads View citations (1)
  4. Non-bank financial intermediation in the euro area: implications for monetary policy transmission and key vulnerabilities
    Occasional Paper Series, European Central Bank Downloads View citations (6)

2020

  1. Adapting lending policies in a “negative-for-long” scenario (Updated October 2020)
    Working Papers, Banco de España Downloads View citations (19)
  2. Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in BIS Working Papers, Bank for International Settlements (2020) Downloads View citations (3)
    Working Papers, Banco de España (2020) Downloads View citations (2)
  3. Las necesidades de liquidez y la solvencia de las empresas no financieras españolas tras la perturbación del Covid-19
    Occasional Papers, Banco de España Downloads
  4. Spanish non-financial corporations’ liquidity needs and solvency after the covid-19 shock
    Occasional Papers, Banco de España Downloads View citations (5)
  5. The China syndrome affects banks: the credit supply channel of foreign import competition (Updated February 2020)
    Working Papers, Banco de España Downloads
  6. The Impact of Alternative Forms of Bank Consolidation on Credit Supply and Financial Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, Banco de España (2020) Downloads View citations (1)

2019

  1. Bank Capital Requirements, Loan Guarantees and Firm Performance
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (3)
    See also Journal Article Bank capital requirements, loan guarantees and firm performance, Journal of Financial Intermediation, Elsevier (2021) Downloads View citations (8) (2021)

2017

  1. "Keeping it personal" or "getting real"? On the drivers and effectiveness of personal versus real loan guarantees
    Working Papers, Banco de España Downloads View citations (5)
  2. Dealing with dealers: sovereign CDS comovements
    Working Papers, Banco de España Downloads View citations (3)
    See also Journal Article Dealing with dealers: Sovereign CDS comovements, Journal of Banking & Finance, Elsevier (2018) Downloads View citations (3) (2018)
  3. Did the bank capital relief induced by the supporting factor enhance SME lending?
    Working Papers, Banco de España Downloads
    See also Journal Article Did the bank capital relief induced by the Supporting Factor enhance SME lending?, Journal of Financial Intermediation, Elsevier (2018) Downloads View citations (16) (2018)
  4. Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE
    Working Papers, Banco de España Downloads 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) Downloads View citations (9) (2021)

2014

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

2013

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

2012

  1. 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 Downloads 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) Downloads View citations (67) (2013)
  2. 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 Downloads View citations (1)
  3. 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 Downloads 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) Downloads View citations (11) (2014)
  4. Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads

2011

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

2010

  1. 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 Downloads 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) Downloads View citations (15) (2011)

2009

  1. 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 Downloads View citations (5)

Journal Articles

2024

  1. A new estimation of default probabilities based on non-performing loans
    Finance Research Letters, 2024, 62, (PB) Downloads
  2. Bank Regulatory Capital Arbitrage: Evidence from Housing Overappraisals
    Management Science, 2024, 70, (4), 2255-2271 Downloads

2023

  1. Distressed firms, zombie firms and zombie lending: A taxonomy
    Journal of Banking & Finance, 2023, 149, (C) Downloads View citations (6)
    See also Working Paper Distressed firms, zombie firms and zombie lending: a taxonomy, Working Papers (2022) Downloads View citations (2) (2022)

2022

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

2021

  1. Bank capital requirements, loan guarantees and firm performance
    Journal of Financial Intermediation, 2021, 45, (C) Downloads View citations (8)
    See also Working Paper Bank Capital Requirements, Loan Guarantees and Firm Performance, Swiss Finance Institute Research Paper Series (2019) Downloads View citations (3) (2019)
  2. Dollar borrowing, firm credit risk, and FX-hedged funding opportunities
    Journal of Corporate Finance, 2021, 68, (C) Downloads View citations (2)
  3. How do European banks cope with macroprudential capital requirements
    Finance Research Letters, 2021, 38, (C) Downloads View citations (2)
  4. 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 Downloads View citations (9)
    See also Working Paper Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE, Working Papers (2017) Downloads View citations (22) (2017)

2020

  1. Developments in the collective investment industry in Spain between 2008 and 2019
    Economic Bulletin, 2020, (4/2020) Downloads
  2. 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) Downloads View citations (5)
  3. Evolución de la industria de la inversión colectiva en España entre 2008 y 2019
    Boletín Económico, 2020, (4/2020) Downloads
  4. Evolución reciente de la financiación y del crédito bancario al sector privado no financiero
    Boletín Económico, 2020, (4/2020) Downloads
  5. Mutual Funding
    The Review of Financial Studies, 2020, 33, (10), 4883-4915 Downloads View citations (1)
  6. Recent developments in financing and bank lending to the non-financial private sector
    Economic Bulletin, 2020, (4/2020) Downloads
  7. 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) Downloads
  8. The challenges associated with the use of agencies’ credit ratings in the context of the COVID-19 crisis
    Financial Stability Review, 2020, (Autumn) Downloads
  9. 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) Downloads

2019

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

2018

  1. Borrowing constraints and housing price expectations in the euro area
    Economic Modelling, 2018, 72, (C), 410-421 Downloads View citations (3)
  2. Dealing with dealers: Sovereign CDS comovements
    Journal of Banking & Finance, 2018, 90, (C), 96-112 Downloads View citations (3)
    See also Working Paper Dealing with dealers: sovereign CDS comovements, Working Papers (2017) Downloads View citations (3) (2017)
  3. Did the bank capital relief induced by the Supporting Factor enhance SME lending?
    Journal of Financial Intermediation, 2018, 36, (C), 45-57 Downloads View citations (16)
    See also Working Paper Did the bank capital relief induced by the supporting factor enhance SME lending?, Working Papers (2017) Downloads (2017)
  4. 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 Downloads View citations (2)
  5. Los efectos del programa de compra de bonos corporativos del Eurosistema sobre las empresas españolas
    Boletín Económico, 2018, (MAR) Downloads
  6. The effects of the Eurosystem’s corporate sector purchase programme on Spanish companies
    Economic Bulletin, 2018, (MAR) Downloads View citations (8)

2017

  1. When does relationship lending start to pay?
    Journal of Financial Intermediation, 2017, 31, (C), 16-29 Downloads View citations (37)

2016

  1. Does central clearing benefit risky dealers?
    Journal of International Financial Markets, Institutions and Money, 2016, 42, (C), 91-100 Downloads View citations (4)
  2. 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 Downloads
  3. 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 Downloads View citations (2)

2015

  1. Fragmentation in the European interbank market: Measures, determinants, and policy solutions
    Journal of Financial Stability, 2015, 16, (C), 1-12 Downloads View citations (35)
  2. Towards a common Eurozone risk free rate
    The European Journal of Finance, 2015, 21, (12), 1005-1022 Downloads View citations (1)

2014

  1. An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives
    Applied Financial Economics, 2014, 24, (9), 605-619 Downloads View citations (6)
  2. Are All Credit Default Swap Databases Equal?
    European Financial Management, 2014, 20, (4), 677-713 Downloads View citations (35)
    See also Working Paper Are all Credit Default Swap Databases equal?, Papers (2022) Downloads (2022)
  3. Derivatives holdings and systemic risk in the U.S. banking sector
    Journal of Banking & Finance, 2014, 45, (C), 84-104 Downloads View citations (46)
    See also Working Paper Derivatives Holdings and Systemic Risk in the U.S. Banking Sector, Papers (2022) Downloads (2022)
  4. Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis
    International Review of Economics & Finance, 2014, 31, (C), 171-192 Downloads View citations (11)
    See also Working Paper Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis, Faculty Working Papers (2012) Downloads View citations (12) (2012)
  5. Portfolio choice with indivisible and illiquid housing assets: the case of Spain
    Quantitative Finance, 2014, 14, (11), 2045-2064 Downloads View citations (4)
    See also Working Paper Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain, Papers (2022) Downloads (2022)

2013

  1. 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 Downloads View citations (67)
    See also Working Paper Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis, Faculty Working Papers (2012) Downloads View citations (11) (2012)

2011

  1. 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 Downloads 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) Downloads View citations (1) (2010)
  2. Trademark activity and the market performance of U.S. commercial banks
    Journal of Business Economics and Management, 2011, 13, (5), 931-950 Downloads View citations (5)

2008

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