Dongho Song
Assistant Professor of Finance
Johns Hopkins Carey Business School
Education
- Ph.D. in Economics, 2014
- University of Pennsylvania
Interests
- Macro-Finance
- Time Series Econometrics
Working Papers
Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
with Frank Schorfheide; MATLAB Code; Regularly updated forecasts are available here ; July 2020
A No-Arbitrage Perspective on Global Arbitrage Opportunities
with Patrick Augustin, Mikhail Chernov, and Lukas Schmid; Click here for Poster; July 2020
The Term Structure of Equity Risk Premia
with Ravi Bansal, Shane Miller, and Amir Yaron; May 2020
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
with Taeyoung Doh and Shu-Kuei Yang; October 2020
Fearing the Fed: How Wall Street Reads Main Street
with Tzuo Law and Amir Yaron; October 2020
News-Driven Uncertainty Fluctuations
with Jenny Tang, November 2020
Publications
Benchmark Interest Rates when the Government is Risky, Journal of Financial Economics, 2020
with Patrick Augustin, Mikhail Chernov, and Lukas Schmid; Click here for Poster
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads, Journal of Financial Economics, 2020
with Patrick Augustin and Mikhail Chernov
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach, Econometrica, 2018
with Frank Schorfheide and Amir Yaron; MATLAB Code, Online Appendix, State variables
Bond Market Exposures to Macroeconomic and Monetary Policy Risks, Review of Financial Studies, 2017
Improving GDP Measurement: A Measurement-Error Perspective, Journal of Econometrics, 2016
with Boragan Aruoba, Jeremy Nalewaik, Francis Diebold, and Frank Schorfheide; MATLAB Code; GDP Plus
Real-Time Forecasting with a Mixed-Frequency VAR, Journal of Business and Economic Statistics, 2015
with Frank Schorfheide; MATLAB Code