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. 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.
vsergio (at) sas.upenn.edu
sergio.villalvazo-martin (at) frb.gov
RESEARCH & PUBLICATIONS
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, U Maryland, SED Minnesota, European Summer Meeting of the Econometric Society at Copenhagen, Latin American Meeting of the Econometric Society at Bogota.
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).
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
2021 - to date
Economist. Federal Reserve Board, Financial and Macroeconomic Stability Studies.
June 2020 - July 2020
Visiting Scholar. Federal Reserve Bank of Atlanta, Research Department.
June 2019 - August 2019
Quantitative Researcher. Citadel, Global Fixed Income at Greenwich.
2012 - 2015
Economist. Central Bank of Mexico, Economic Research Division.
Board of Governors of the Federal Reserve System
20th Street and Constitution Avenue NW
Washington, DC 20551
vsergio (at) sas.upenn.edu