That city is Madrid, right the confluence of Gran Via with Alcalá. Behind the Schweppes ad there are very expensive hotel suites. They shoot there the film "The Day of the Beast" (el día de la bestia) by Alex de Laiglesia, who was one of the Oscar nominees this year.
The painter Antonio Lopez (rather respected, his works sell for high hundred thousand euros) captured that street (Gran Vía) in several of his works