Ph.D. Candidate in Economics
I am a Ph.D. Candidate in the Economics Department at the University of Pennsylvania. Before moving to Philadelphia, I worked as an economist at the Central Bank of Mexico. I'm mainly interested in international economics, macro-finance, public economics and macroeconometrics.
I will be available for interviews at the 2020/2021 job market.
Inequality and Asset Prices during Sudden Stops. (Job Market Paper)
Draft Coming Soon
Presentations: UPenn, Fed Board, Atlanta 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 the cross-sectional dimension of this mechanism 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 the 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 model with heterogeneous-agents to measure the effects of inequality on the frequency and severity of financial crises. As in representative-agent models of Sudden Stops, the model features a loan-to-value collateral constraint that triggers Sudden Stops as endogenous responses to aggregate shocks. Households face non-insurable idiosyncratic labor and dividend income shocks. In a version of the model calibrated to an emerging economy, the dampening effect dominates and Sudden Stop episodes are less severe in heterogeneous-agents economies. Consumption drops one-third and asset prices drop one-tenth of the drop obtained in the representative-agent (RA) version of the model. In contrast to the RA framework, the model produces an empirically plausible leverage ratio distribution and generates persistent current account reversals. Moreover, calibrating the model to an advanced economy where the dividend risk is 50% of the benchmark emerging-markets model, larger debt positions are supported and Sudden Stop crises are less severe, as observed in the data.
Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally-Binding Constraints. with Boragan Aruoba, Pablo Cuba-Borda, Kenji Higa-Flores and Frank Schorfheide.
R&R Review of Economic Dynamics. | Working Paper Version |
Replication Files: Julia Replication NK DSGE Model (Main Paper), Julia Replication Consumption-Savings Model (Appendix)
Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk. with Dirk Krueger and Alexander Ludwig.
FDI Flows and Sudden Stops in Small Open Economies.
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).
WORK IN PROGRESS
Changing Jobs to Fight Inflation: Labor Market Reactions to Inflationary Shocks. with Gorkem Bostanci and Omer Koru.
Draft Coming Soon
Rising Intangibles and Fading Listed. with Sara Casella and Hanbaek Lee.
Draft Coming Soon
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) sas.upenn.edu