SERGIO VILLALVAZO
Economist, Financial and Macro Stability Studies
Federal Reserve Board
SERGIO VILLALVAZO
I am an economist with research interests in the intersection between international economics, macro-finance, and public economics. In particular, my work focuses on understanding the role of financial frictions and heterogeneity on the macroeconomy during financial crises.
My professional experience is in central banking and the private financial industry. I'm currently working at the Financial and Macroeconomic Stability Studies Section of the Federal Reserve Board and I'm a member of the Macro Finance Society. Before moving to Washington D.C., I worked as a Quantitative Researcher at Citadel in Greenwich and as an Economist at the Central Bank of Mexico.
I hold a Ph.D. and M.A. from The University of Pennsylvania and an M.A. and B.A. from ITAM in Mexico City.
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sergio.villalvazo-martin (at) frb.gov
WORK IN PROGRESS
Inequality and Asset Prices during Sudden Stops.
Working Paper Version | IFDP WP 2024-1388
Presentations: 2023: NBER IFM Spring Meeting, FRB Macro Finance Workshop, EEA-ESEM at Barcelona, 9th Annual West Coast Workshop in International Finance at Vancouver.
2022: Midwest Macro at Utah, NASMES at Miami, EEA-ESEM at Milan, SEA at Fort Lauderdale.
2021: Chicago Fed, Queen Mary U London, World Bank, Bank of England, Fed Board, Tufts University, Penn State, UT Austin, SUNY Albany, Dallas Fed, ITAM, U Maryland, SED Minnesota, European Summer Meeting of the Econometric Society at Copenhagen, Latin American Meeting of the Econometric Society at Bogota.
2020: Penn, Atlanta Fed, ITAM, Fed Board.
Nonlinear Effects of Loan-to-Value Constraints. with Bora Durdu.
Working Paper Version | FEDS WP 2024-081
Presentations: 2024: MEA at Chicago, ITAM Alumni Conference.
Disclosure Regulation, Intangible Capital and the Disappearance of Public Firms. with Sara Casella and Hanbaek Lee.
Working Paper Version | FEDS WP 2023-050
Presentations: 2024: Midwest Macro at Richmond, EEA-ESEM at Rotterdam.
2023: NASMES at Los Angeles.
Changing Jobs to Fight Inflation: Labor Market Reactions to Inflationary Shocks. with Gorkem Bostanci and Omer Koru.
Working Paper Version
PUBLICATIONS
FDI Flows and Sudden Stops in Small Open Economies.
Journal of Macroeconomics Volume 79, March 2024. | Link to document | Working Paper Version
Presentations: Macro Financial Modelling Summer Session at Cape Cod (2018), Latin American Meeting of the Econometric Society at Guayaquil (2018), European Winter Meeting of the Econometric Society at Naples (2018).
SVARs with Occasionally-Binding Constraints. with Boragan Aruoba, Marko Mlikota and Frank Schorfheide.
Journal of Econometrics Volume 231, Issue 2, December 2022, Pages 477-499. | Link to document | Working Paper Version
Replication Files: Julia Replication Codes
Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk. with Dirk Krueger and Alexander Ludwig.
Journal of Public Economics Volume 201, September 2021. | Link to document | ICIR Working Paper Version | Online Appendix
Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints. with Boragan Aruoba, Pablo Cuba-Borda, Kenji Higa-Flores and Frank Schorfheide.
Review of Economic Dynamics Volume 41, July 2021, Pages 96-120. | Link to document | Working Paper Version | NBER extended WP
Replication Files: Julia Replication NK DSGE Model (Main Paper), Julia Replication Consumption-Savings Model (Appendix)
FiPIt: A simple, fast global method for solving models with two endogenous states & occasionally binding constraints. with Enrique G. Mendoza.
Review of Economic Dynamics Volume 37, July 2020, Pages 81-102. | Link to document | Link to UserGuide and Codes | PIER Working Paper Version | NBER extended WP
The effect of natural gas shortages on the Mexican economy. with Carlo Alcaraz.
Energy Economics Volume 66, August 2017, Pages 147-153. | Link to document | Working Paper Version
Press Coverage: Proceso
Decomposition of financial crises in Mexico (in Spanish).
Gaceta de EconomÃa 34 (2015). | Link to document
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PROFESSIONAL
2021Â - to date
Economist. Federal Reserve Board, Financial and Macroeconomic Stability Studies.
June 2020Â - July 2020
Visiting Scholar. Federal Reserve Bank of Atlanta, Research Department.
June 2019Â - August 2019
Quantitative Researcher. Citadel, Global Fixed Income at Greenwich.
2012Â - 2015
Economist. Banco de Mexico, Economic Research Division.
CONTACT ME
Board of Governors of the Federal Reserve System
20th Street and Constitution Avenue NW
Washington, DC 20551
sergio.villalvazo-martin (at) frb.gov