Ph.D. Candidate in Economics

The University of Pennsylvania

I am a Ph.D. Candidate in the Economics Department at the University of Pennsylvania. I'm mainly interested in international economics, macro-finance, public economics, and macroeconometrics.

I will be joining the Federal Reserve Board in the Financial and Macroeconomic Stability Studies section.

Google Scholar



Inequality and Asset Prices during Sudden Stops. (Job Market Paper)

Working Paper Version
Presentations: 2020: Penn, Atlanta Fed, ITAM, Fed Board.

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.

Abstract: This paper studies the cross-sectional dimension of Fisher's debt-deflation mechanism that triggers financial crises of the Sudden Stop type - i.e., episodes with large reversals in the current account. Analyzing micro-data from Mexico for the 2009 crisis, we show that this mechanism's cross-sectional dimension has macroeconomic implications that operate via two opposing effects. First, an amplifying effect by which households with high leverage fire-sale their assets during a crisis, increasing downward pressure on asset prices.  Second, a dampening effect by which wealthy households with low leverage buy depressed assets, relieving downward pressure on asset prices. As a result, the role of inequality during crises is ambiguous. We conduct a quantitative analysis using a calibrated small-open-economy, asset-pricing model with heterogeneous-agents to measure the effects of inequality on the frequency and severity of financial crises. As in representative-agent (RA) models of Sudden Stops, the model features a loan-to-value collateral constraint that triggers Sudden Stops as endogenous responses to aggregate shocks. In a version of the model calibrated to an emerging economy, the dampening effect dominates, and asset prices drop less in heterogeneous-agents economies. In contrast to the RA framework, the model generates persistent current account reversals with larger drops in consumption driven by the most leveraged households. Moreover, calibrating the model to an advanced economy where the dividend risk is one-half of the benchmark emerging-markets model, inequality is lower, larger debt positions are supported, and Sudden Stop crises are less severe, as observed in the data.

FDI Flows and Sudden Stops in Small Open Economies. 

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.

The Journal of Econometrics (R&R). | Working Paper Version

Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk. with Dirk Krueger and Alexander Ludwig.

Journal of Public Economics (R&R). | Working Paper Version

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 (Forthcoming). | 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 Economía 34 (2015). | Link to document



Changing Jobs to Fight Inflation: Labor Market Reactions to Inflationary Shocks. with Gorkem Bostanci and Omer Koru.

Working Paper Version

Rising Intangibles and Fading Listed. with Sara Casella and Hanbaek Lee.





The University of Pennsylvania, Expected May 2021


The University of Pennsylvania, 2017


ITAM, 2015


ITAM, 2011



June 2020 - July 2020

Dissertation Scholar. Federal Reserve Bank of Atlanta, Research Department.

June 2019 - August 2019

Quantitative Researcher. Citadel, Global Fixed Income.

2012 - 2015

Economist. Central Bank of Mexico, Economic Research Division.



Department of Economics

University of Pennsylvania
The Ronald O. Perelman Center for Political Science and Economics

133 South 36th Street
Philadelphia, PA 19104

vsergio (at)


©2019 by Sergio Villalvazo.