  The severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), which
causes the coronavirus disease 2019 (COVID-19), has led to the deepest global
health and economic crisis of the current century. This dramatic situation has
forced the public health authorities and pharmaceutical companies to develop
anti-COVID-19 vaccines in record time. Currently, almost 80% of the population
are vaccinated with the required number of doses in Spain. Thus, in this paper,
COVID-19 incidence and lethality rates are analyzed through a segmented
spatio-temporal regression model that allows studying if there is an
association between a certain vaccination level and a change (in mean) in
either the incidence or the lethality rates. Spatial dependency is included by
considering the Besag-York-Molli\'e model, whereas natural cubic splines are
used for capturing the temporal structure of the data. Lagged effects between
the exposure and the outcome are also taken into account. The results suggest
that COVID-19 vaccination has not allowed yet (as of September 2021) to observe
a consistent reduction in incidence levels at a regional scale in Spain. In
contrast, the lethality rates have displayed a declining tendency which has
associated with vaccination levels above 50%.
