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Research

Publications

Refereed Journal Articles

“When Does Relationship Lending Start to Pay?” (with G. López-Espinosa and A. Moreno). Journal of Financial Intermediation, forthcoming.

“Disentangling the Effects of Household Financial Constraints and Risk Profile on Mortgage Rates” (with S. Carbó-Valverde and F. Rodríguez-Fernández). Journal of Real Estate Finance and Economics, forthcoming.

“The Impact of the 2011 Short-sale Ban on Financial Stability: Evidence From the Spanish Stock Market” (with O. Arce). European Financial Management, 22, 1001-1022. 2016.

“Does Central Clearing Benefit Risky Dealers?” (with P. N. Posch ). Journal of International Financial Markets, Institutions & Money, 14, 2045-2064. 2016.

“Fragmentation in the European Interbank Market: Measures, Determinants, and Policy Solutions” (with M.Rodriguez-Moreno, M. Abascal, and T. Alonso). Journal of Financial Stability, 16, 1-12. 2015.

Derivatives Holdings and Systemic Risk in the U.S. Banking Sector” (with M. Rodriguez-Moreno and J.I. Peña). Journal of Banking and Finance, 45, 84-104. 2014.

“Testing for Statistical Arbitrage in Credit Derivatives Markets” (with J.I. Peña and J. Romo). Journal of Empirical Finance, 26, 59-75. 2014.

“Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis” (with M. Rodriguez-Moreno and J.I. Peña). International Review of Economics and Finance, 31, 171-192. 2014.

“Towards a Common Eurozone Risk Free Rate” (with J.I. Peña and E. S. Schwartz). European Journal of Finance, 21, 1005-1022. 2015.

“Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain” (with M. Rodriguez-Moreno and J.I. Peña). Quantitative Finance, 14 2045-2064. 2014.

“An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives” (with J.I. Peña). Applied Financial Economics, 24, 605-619, 2014.

“Are All Credit Default Swap Databases Equal?” (with J.I. Peña and E. S. Schwartz). European Financial Management, 20, 677-713. 2014.

“Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis” (with O. Arce and J. I. Peña), Journal of International Money and Finance, 35, 124-145. 2013.

“Trademark Activity and the Market Performance of U.S. Commercial Banks” (with C. Gonzalez-Pedraz), Journal of Business Economics and Management, 13, 931-950. 2012.

“The Effect of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress” (with J.I. Peña and J. Romo), European Journal of Finance, 17, 851-881. 2011.

“Do borrowing constraints affect to the housing tenure regime?” (in Spanish). Investigaciones Económicas, Volume XXXII (3) – September 2008 p.p. 289-324. 2008.

Non-Refereed Journal Articles

“Incumbents’ Diversification in New Markets and Entry Time: Why do Technological First Movers Fail to Dominate the Security Software Industry?” (in Spanish), (with Marco S. Giarratana), Cuadernos Económicos del ICE 73, 2007 p.p. 111-134.

“The European Market of Sovereign CDS in the Context of the Sovereign Debt Crisis” (with O. Arce).

“The custodians of Spanish Mutual Funds”, Cuadernos de Información Económica nº
236, Funcas.

“A Summary of the Thesis: Four Essays on the Interaction between Credit Derivatives
and Fixed Income Markets”. Cuadernos de Investigación UCEIF Número 7/2012
.

Working Papers

“Borrowing Constraints and Housing Price Expectations in the Euro Area” (with M. Ampudia)

“Dealing with Dealers: Sovereign CDS Comovements” (with M. Antón and M. Rodríguez-Moreno)

“Keeping It Personal” or “Getting Real”? On the Drivers and Effectiveness of Personal versus Real Loan Guarantees (with A. Moreno, S. Ongena and M. Rodríguez-Moreno)

“Mutual Funding” (with J. Gil-Bazo and P. Hoffmann)

“Support is appreciated”: On the effectiveness of the SME supporting factor (with M. Rodríguez-Moreno)