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Sergio Villalvazo

Personal Details

First Name:Sergio
Middle Name:
Last Name:Villalvazo
Suffix:
RePEc Short-ID:pvi447
[This author has chosen not to make the email address public]
https://www.sergiovillalvazo.com/
Terminal Degree:2021 Department of Economics; University of Pennsylvania (from RePEc Genealogy)

Affiliation

Federal Reserve Board (Board of Governors of the Federal Reserve System)

Washington, District of Columbia (United States)
http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Gorkem Bostanci & Omer Koru & Sergio Villalvazo, 2025. "Changing Jobs to Fight Inflation: Labor Market Reactions to Inflationary Shocks," Finance and Economics Discussion Series 2025-042, Board of Governors of the Federal Reserve System (U.S.).
  2. Sergio Villalvazo, 2024. "Inequality and Asset Prices during Sudden Stops," International Finance Discussion Papers 1388, Board of Governors of the Federal Reserve System (U.S.).
  3. Bora Durdu & Sergio Villalvazo, 2024. "Nonlinear Effects of Loan-to-Value Constraints," Finance and Economics Discussion Series 2024-081, Board of Governors of the Federal Reserve System (U.S.).
  4. Sara Casella & Hanbaek Lee & Sergio Villalvazo, 2023. "Disclosure Regulation, Intangible Capital and the Disappearance of Public Firms," Finance and Economics Discussion Series 2023-050, Board of Governors of the Federal Reserve System (U.S.).
  5. Krueger, Dirk & Ludwig, Alexander & Villalvazo, Sergio, 2021. "Optimal taxes on capital in the OLG model with uninsurable idiosyncratic income risk," ICIR Working Paper Series 38/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  6. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
  7. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
  8. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
  9. Enrique G. Mendoza & Sergio Villalvazo, 2019. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," NBER Working Papers 26310, National Bureau of Economic Research, Inc.

Articles

  1. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
  2. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
  3. Krueger, Dirk & Ludwig, Alexander & Villalvazo, Sergio, 2021. "Optimal taxes on capital in the OLG model with uninsurable idiosyncratic income risk," Journal of Public Economics, Elsevier, vol. 201(C).
  4. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 96-120, July.
  5. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
  6. Alcaraz, Carlo & Villalvazo, Sergio, 2017. "The effect of natural gas shortages on the Mexican economy," Energy Economics, Elsevier, vol. 66(C), pages 147-153.

Software components

  1. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Code and data files for "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Computer Codes 20-14, Review of Economic Dynamics.
  2. Enrique Mendoza & Sergio Villalvazo, 2020. "Code and data files for "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints"," Computer Codes 19-424, Review of Economic Dynamics.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Krueger, Dirk & Ludwig, Alexander & Villalvazo, Sergio, 2021. "Optimal taxes on capital in the OLG model with uninsurable idiosyncratic income risk," ICIR Working Paper Series 38/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).

    Cited by:

    1. Oliwia Komada & Krzysztof Makarski & Joanna Tyrowicz, 2017. "Welfare effects of fiscal policy in reforming the pension system," GRAPE Working Papers 11, GRAPE Group for Research in Applied Economics.
    2. Pablo Garcia Sanchez & Luca Marchiori & Olivier Pierrard, 2024. "On optimal subsidies for prevention and long-term care," BCL working papers 186, Central Bank of Luxembourg.
    3. Schünemann, Johannes & Trimborn, Timo, 2017. "Boosting taxes for boasting about houses: Status concerns in the housing market," ECON WPS - Working Papers in Economic Theory and Policy 05/2017, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    4. Gorokhovsky, Alexander & Rubinchik, Anna, 2024. "An overlapping-generations model with data-driven equilibrium behavior," Journal of Mathematical Economics, Elsevier, vol. 115(C).
    5. Sebastian Rausch & Hidemichi Yonezawa, 2021. "Green technology policies versus carbon pricing. An intergenerational perspective," Discussion Papers 965, Statistics Norway, Research Department.
    6. Boháček, Radim & Kejak, Michal, 2018. "Optimal government policies in models with heterogeneous agents," Journal of Economic Theory, Elsevier, vol. 176(C), pages 834-858.
    7. YiLi Chien & Yi Wen & HsinJung Wu, 2020. "Are Government Bonds Net Wealth or a Liability? ---Optimal Debt and Taxes in an OLG Model with Uninsurable Income Risk," Working Papers 2020-007, Federal Reserve Bank of St. Louis, revised 02 Apr 2025.
    8. Giovanni Gallipoli & Brant Abbott, 2017. ""Permanent Income" Inequality," 2017 Meeting Papers 1033, Society for Economic Dynamics.
    9. YiLi Chien & Yi Wen, 2022. "Optimal Ramsey Taxation in Heterogeneous Agent Economies with Quasi-Linear Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 46, pages 124-160, October.
    10. Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2021. "Value of Life and Annuity Demand," MPRA Paper 108886, University Library of Munich, Germany.
    11. Andrea Modena & Luca Regis, 2024. "Capital risk, fiscal policy, and the distribution of wealth," Mathematics and Financial Economics, Springer, volume 18, number 8, December.
    12. Gorokhovsky, Alexander & Rubinchik, Anna, 2022. "Necessary and sufficient conditions for determinacy of asymptotically stationary equilibria in OLG models," Journal of Economic Theory, Elsevier, vol. 204(C).
    13. Ryoji HIRAGUCHI, 2023. "Optimal Government Debt Policy in the Overlapping Generations Model with Idiosyncratic Capital Return Risk," Discussion papers 23063, Research Institute of Economy, Trade and Industry (RIETI).
    14. Makarski, Krzysztof & Tyrowicz, Joanna & Komada, Oliwia, 2024. "Capital income taxation and reforming social security in an OLG economy," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
    15. Agénor, Pierre-Richard & Pereira da Silva, Luiz A., 2025. "Global public goods, fiscal policy coordination, and welfare in the world economy," European Economic Review, Elsevier, vol. 172(C).
    16. Andrea Modena & Luca Regis, 2023. "Capital Risk, Fiscal Policy, and the Distribution of Wealth," CRC TR 224 Discussion Paper Series crctr224_2023_454, University of Bonn and University of Mannheim, Germany.
    17. Jaimes, Richard, 2023. "Does idiosyncratic risk matter for climate policy?," Environment and Development Economics, Cambridge University Press, vol. 28(4), pages 353-367, August.
    18. Krapf, Matthias, 2018. "The Joint Distribution of Wealth and Income Risk: Evidence from Bern," Working papers 2018/18, Faculty of Business and Economics - University of Basel.
    19. YiLi Chien & Yi Wen, 2019. "Don't Tax Capital---Optimal Ramsey Taxation in Heterogeneous Agent Economies with Quasi-Linear Preferences," 2019 Meeting Papers 258, Society for Economic Dynamics.
    20. Ludwig, Alexander & Groneck, Max & Zimper, Alexander, 2021. "Who Saves More, the Naive or the Sophisticated Agent?," CEPR Discussion Papers 16412, C.E.P.R. Discussion Papers.
    21. Patrick Macnamara & Myroslav Pidkuyko & Raffaele Rossi, 2022. "Taxing Consumption in Unequal Economies," Economics Discussion Paper Series 2210, Economics, The University of Manchester.
    22. Yunmin Chen & YiLi Chien & C.C. Yang, 2021. "Optimal Capital Taxation and Precautionary Savings," Review, Federal Reserve Bank of St. Louis, vol. 103(3), pages 333-350, July.
    23. Chien, YiLi & Wen, Yi, 2023. "Optimal fiscal policy under capital overaccumulation," Macroeconomic Dynamics, Cambridge University Press, vol. 27(6), pages 1706-1736, September.
    24. Li, Meng, 2023. "Loss aversion and inefficient general equilibrium over the business cycle," Economic Modelling, Elsevier, vol. 118(C).
    25. Torben M. Andersen, 2020. "Taxation of capital income in overlapping generations economies," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 22(5), pages 1245-1261, September.
    26. Yunmin Chen & Cheng Chen Yang & YiLi Chien, 2018. "Implementing the Modified Golden Rule? Optimal Ramsey Capital Taxation with Incomplete Markets Revisited," 2018 Meeting Papers 59, Society for Economic Dynamics.
    27. John Revesz, 2020. "A Model of the Optimal Tax Mix Including Capital Taxation," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(3), pages 387-402, September.

  2. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    2. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
    3. Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Stefania D'Amico & Thomas B. King, 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    5. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    6. Pablo Guerrón-Quintana & Alexey Khazanov & Molin Zhong, 2023. "Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model," Finance and Economics Discussion Series 2023-027, Board of Governors of the Federal Reserve System (U.S.).
    7. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    8. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2025. "Informing DSGE Models Through Dynamic Factor Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(5), pages 487-507, August.
    9. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    10. Bykhovskaya, Anna & Duffy, James A., 2024. "The local to unity dynamic Tobit model," Journal of Econometrics, Elsevier, vol. 241(2).
    11. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    12. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    13. Yilmazkuday, Hakan, 2024. "Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices," Energy Economics, Elsevier, vol. 140(C).
    14. Dubbert, Tore & Kempa, Bernd, 2024. "Nowcasting the output gap with shadow rates," Economics Letters, Elsevier, vol. 236(C).
    15. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
    16. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    17. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
    18. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Sep 2025.
    19. James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.

  3. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.

    Cited by:

    1. Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," Working Papers hal-04861311, HAL.
    2. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    3. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    4. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
    5. Hanno Kase & Leonardo Melosi & Matthias Rottner, 2025. "Estimating nonlinear heterogeneous agent models with neural networks," BIS Working Papers 1241, Bank for International Settlements.
    6. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    7. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    8. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2020. "Testing the effectiveness of unconventional monetary policy in Japan and the United States," Papers 2012.15158, arXiv.org, revised Nov 2023.
    9. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    10. Matthias Rottner, 2021. "Financial Crises and Shadow Banks: A Quantitative Analysis," Economics Working Papers EUI ECO 2021/02, European University Institute.
    11. Damioli, Giacomo & Gregori, Wildmer Daniel, 2021. "Diplomatic relations and cross-border investments in the European Union," JRC Working Papers in Economics and Finance 2021-02, Joint Research Centre, European Commission.
    12. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    13. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    14. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," JRC Working Papers in Economics and Finance 2021-03, Joint Research Centre, European Commission.
    15. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022. "Resolving the missing deflation puzzle," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.
    16. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    17. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    18. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    19. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    20. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Sep 2025.
    21. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    22. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    23. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," JRC Working Papers in Economics and Finance 2021-08, Joint Research Centre, European Commission.

  4. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," Working Papers hal-04861311, HAL.
    2. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
    3. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    4. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
    5. Hanno Kase & Leonardo Melosi & Matthias Rottner, 2025. "Estimating nonlinear heterogeneous agent models with neural networks," BIS Working Papers 1241, Bank for International Settlements.
    6. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    7. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    8. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2020. "Testing the effectiveness of unconventional monetary policy in Japan and the United States," Papers 2012.15158, arXiv.org, revised Nov 2023.
    9. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    10. Matthias Rottner, 2021. "Financial Crises and Shadow Banks: A Quantitative Analysis," Economics Working Papers EUI ECO 2021/02, European University Institute.
    11. Damioli, Giacomo & Gregori, Wildmer Daniel, 2021. "Diplomatic relations and cross-border investments in the European Union," JRC Working Papers in Economics and Finance 2021-02, Joint Research Centre, European Commission.
    12. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    13. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    14. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," JRC Working Papers in Economics and Finance 2021-03, Joint Research Centre, European Commission.
    15. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022. "Resolving the missing deflation puzzle," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.
    16. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    17. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
    18. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
    19. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    20. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Sep 2025.
    21. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    22. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    23. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," JRC Working Papers in Economics and Finance 2021-08, Joint Research Centre, European Commission.

  5. Enrique G. Mendoza & Sergio Villalvazo, 2019. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," NBER Working Papers 26310, National Bureau of Economic Research, Inc.

    Cited by:

    1. Sergio Villalvazo, 2024. "Inequality and Asset Prices during Sudden Stops," International Finance Discussion Papers 1388, Board of Governors of the Federal Reserve System (U.S.).
    2. Guerra Vallejos, Ernesto & Bobenrieth Hochfarber, Eugenio & Bobenrieth Hochfarber, Juan & Wright, Brian D., 2021. "Solving dynamic stochastic models with multiple occasionally binding constraints," Economic Modelling, Elsevier, vol. 105(C).
    3. Damián Pierri, 2021. "Memory, multiple equilibria and emerging market crises," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-62, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    4. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
    5. Gianluca Benigno & Andrew Foerster & Christopher Otrok & Alessandro Rebucci, 2025. "Estimating macroeconomic models of financial crises: An endogenous regime‐switching approach," Quantitative Economics, Econometric Society, vol. 16(1), pages 1-47, January.
    6. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
    7. Biljanovska, Nina & Vardoulakis, Alexandros P., 2024. "Sudden Stops and optimal policy in a two-agent economy," Journal of International Economics, Elsevier, vol. 148(C).
    8. Oliver de Groot & Bora Durdu & Enrique G. Mendoza, 2020. "Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets," Finance and Economics Discussion Series 2020-006, Board of Governors of the Federal Reserve System (U.S.).
    9. Dan Cao & Wenlan Luo & Guangyu Nie, 2023. "Global GDSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 199-225, December.
    10. Rabitsch-Schilcher, Katrin & Marsal, Ales & Kaszab, Lorant, 2023. "From Linear to Nonlinear: Rethinking Inflation Dynamics in the Calvo Pricing Mechanism," Department of Economics Working Paper Series 350, WU Vienna University of Economics and Business.
    11. Javier Bianchi & Enrique G. Mendoza, 2020. "A Fisherian Approach to Financial Crises:Lessons from the Sudden Stops Literature," PIER Working Paper Archive 20-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    12. Alexis Derviz, 2023. "Foreign Exchange Implications of CBDCs and Their Integration via Bridge Coins," Working Papers 2023/7, Czech National Bank, Research and Statistics Department.
    13. Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," NBER Working Papers 32754, National Bureau of Economic Research, Inc.
    14. Ales Marsal & Katrin Rabitsch & Lorant Kaszab, 2023. "Undesired Consequences of Calvo Pricing in a Non-linear World," Working and Discussion Papers WP 1/2023, Research Department, National Bank of Slovakia.
    15. Knapp, Fabian, 2025. "Optimal Time-Consistent Macroprudential Policy Revisited," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302415, Verein für Socialpolitik / German Economic Association, revised 2025.
    16. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
    17. Santiago Camara & Maximo Sangiacomo, 2022. "Borrowing Constraints in Emerging Markets," Papers 2211.10864, arXiv.org.
    18. Bora Durdu & Sergio Villalvazo, 2024. "Nonlinear Effects of Loan-to-Value Constraints," Finance and Economics Discussion Series 2024-081, Board of Governors of the Federal Reserve System (U.S.).
    19. Oliver de Groot & C. Bora Durdu & Enrique G. Mendoza, 2019. "Global v. Local Methods in the Analysis of Open-Economy Models with Incomplete Markets," Working Papers 201916, University of Liverpool, Department of Economics.

Articles

  1. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).

    Cited by:

    1. Maria Siranova & Menbere Workie Tiruneh & Brian Konig, 2024. "From abnormal FDI to a normal driver of sudden stop episodes," Working Papers 2024.02, International Network for Economic Research - INFER.
    2. Mavrigiannakis, Konstantinos & Sakkas, Stelios, 2024. "EU sanctions on Russia and implications for a small open economy: the case of Cyprus," LSE Research Online Documents on Economics 125336, London School of Economics and Political Science, LSE Library.

  2. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    See citations under working paper version above.
  3. Krueger, Dirk & Ludwig, Alexander & Villalvazo, Sergio, 2021. "Optimal taxes on capital in the OLG model with uninsurable idiosyncratic income risk," Journal of Public Economics, Elsevier, vol. 201(C).
    See citations under working paper version above.
  4. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 96-120, July.
    See citations under working paper version above.
  5. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
    See citations under working paper version above.
  6. Alcaraz, Carlo & Villalvazo, Sergio, 2017. "The effect of natural gas shortages on the Mexican economy," Energy Economics, Elsevier, vol. 66(C), pages 147-153.

    Cited by:

    1. Matheus Belucio & Renato Santiago & José Alberto Fuinhas & Luiz Braun & José Antunes, 2022. "The Impact of Natural Gas, Oil, and Renewables Consumption on Carbon Dioxide Emissions: European Evidence," Energies, MDPI, vol. 15(14), pages 1-16, July.
    2. Gao, Yanyan & Zheng, Jianghuai, 2022. "Clearing the air through pipes? An evaluation of the air pollution reduction effect of China's natural gas pipeline projects," Energy Policy, Elsevier, vol. 160(C).
    3. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    4. Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019. "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, vol. 80(C), pages 707-719.
    5. Chai, Jian & Zhang, Xiaokong & Lu, Quanying & Zhang, Xuejun & Wang, Yabo, 2021. "Research on imbalance between supply and demand in China's natural gas market under the double-track price system," Energy Policy, Elsevier, vol. 155(C).
    6. Hailemariam, Abebe & Smyth, Russell, 2019. "What drives volatility in natural gas prices?," Energy Economics, Elsevier, vol. 80(C), pages 731-742.
    7. Beyca, Omer Faruk & Ervural, Beyzanur Cayir & Tatoglu, Ekrem & Ozuyar, Pinar Gokcin & Zaim, Selim, 2019. "Using machine learning tools for forecasting natural gas consumption in the province of Istanbul," Energy Economics, Elsevier, vol. 80(C), pages 937-949.
    8. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Latasha Mohapatra & Adel M. Sarea, 2020. "The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 422-431.
    9. Raymond Li & Chi-Keung Woo & Asher Tishler & Jay Zarnikau, 2022. "Price Responsiveness of Residential Demand for Natural Gas in the United States," Energies, MDPI, vol. 15(12), pages 1-22, June.
    10. Li, Raymond & Woo, Chi-Keung & Tishler, Asher & Zarnikau, Jay, 2022. "Price responsiveness of commercial demand for natural gas in the US," Energy, Elsevier, vol. 256(C).
    11. Haoying Wang & Rafael Garduno Rivera, 2022. "The Growing US-Mexico Natural Gas Trade and Its Regional Economic Impacts in Mexico," Papers 2208.06928, arXiv.org.
    12. Anton Pichler & Jan Hurt & Tobias Reisch & Johannes Stangl & Stefan Thurner, 2024. "Economic impacts of a drastic gas supply shock and short-term mitigation strategies," Papers 2409.07981, arXiv.org.
    13. Murshed, Muntasir, 2023. "Efficacies of technological progress and renewable energy transition in amplifying national electrification rates: contextual evidence from developing countries," Utilities Policy, Elsevier, vol. 81(C).
    14. Chen, Jiandong & Yu, Jie & Ai, Bowei & Song, Malin & Hou, Wenxuan, 2019. "Determinants of global natural gas consumption and import–export flows," Energy Economics, Elsevier, vol. 83(C), pages 588-602.
    15. Crescenzo, Ivan De & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2025. "Geopolitical risk and uncertainty in energy markets: Evidence from wavelet-based methods," Energy Economics, Elsevier, vol. 143(C).
    16. Li, Raymond & Woo, Chi-Keung & Tishler, Asher & Zarnikau, Jay, 2022. "How price responsive is industrial demand for natural gas in the United States?," Utilities Policy, Elsevier, vol. 74(C).

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (8) 2019-10-07 2020-05-04 2020-11-09 2021-05-24 2021-06-14 2024-05-06 2024-11-04 2025-06-30. Author is listed
  2. NEP-MAC: Macroeconomics (8) 2019-10-07 2020-05-04 2020-05-04 2020-11-09 2021-04-05 2021-05-10 2021-05-24 2021-06-14. Author is listed
  3. NEP-ORE: Operations Research (4) 2019-10-07 2020-05-04 2020-05-04 2020-11-09. Author is listed
  4. NEP-FDG: Financial Development and Growth (3) 2023-10-09 2024-05-06 2024-11-04. Author is listed
  5. NEP-CBA: Central Banking (2) 2021-04-05 2024-11-04
  6. NEP-CFN: Corporate Finance (2) 2023-10-09 2024-11-04
  7. NEP-ECM: Econometrics (2) 2020-05-04 2021-04-05
  8. NEP-ETS: Econometric Time Series (2) 2020-11-09 2021-04-05
  9. NEP-BAN: Banking (1) 2024-11-04
  10. NEP-CMP: Computational Economics (1) 2020-11-09
  11. NEP-GRO: Economic Growth (1) 2021-06-14
  12. NEP-LMA: Labor Markets - Supply, Demand, and Wages (1) 2025-06-30
  13. NEP-MON: Monetary Economics (1) 2025-06-30
  14. NEP-OPM: Open Economy Macroeconomics (1) 2024-05-06
  15. NEP-PBE: Public Economics (1) 2021-06-14
  16. NEP-PUB: Public Finance (1) 2021-06-14
  17. NEP-UPT: Utility Models and Prospect Theory (1) 2021-06-14

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