Dongho Song
Associate Professor of Finance
Johns Hopkins University
Carey Business School
Education
- Ph.D. in Economics, University of Pennsylvania, 2014
Interests
- Macro-Finance
- Time Series Econometrics
Working Papers
The Real Channel for Nominal Bond-Stock Puzzles [Paper]
with Mikhail Chernov & Lars A. Lochstoer 2021
Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic [Paper]
with Frank Schorfheide 2021 [Code] [Real-time forecasts]
The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates [Paper]
with Francesco Bianchi & Giada Bianchi 2021
The Term Structure of CIP Violations [Paper]
with Patrick Augustin & Mikhail Chernov & Lukas Schmid 2022
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements [Paper]
with Taeyoung Doh & Shu-Kuei Yang 2022
Fearing the Fed: How Wall Street Reads Main Street [Paper]
with Vadim Elenev & Tzuo Law & Amir Yaron 2022
Leaning Against the Data: Policymaker Communications under State-based Forward Guidance [Paper]
with Taeyoung Doh & Joseph Gruber 2022 [Appendix]
Publications
News-Driven Uncertainty Fluctuations [Paper]
with Jenny Tang [Code] - Journal of Business and Economic Statistics 2022
The Term Structure of Equity Risk Premia [Paper]
with Ravi Bansal & Shane Miller & Amir Yaron - Journal of Financial Economics 2021
Benchmark Interest Rates when the Government is Risky [Paper]
with Patrick Augustin & Mikhail Chernov & Lukas Schmid - Journal of Financial Economics 2020
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads [Paper]
with Patrick Augustin & Mikhail Chernov - Journal of Financial Economics 2020
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach [Paper]
with Frank Schorfheide & Amir Yaron [Code] [Appendix] [State variables] - Econometrica 2018
Bond Market Exposures to Macroeconomic and Monetary Policy Risks [Paper]
Review of Financial Studies 2017
Improving GDP Measurement: A Measurement-Error Perspective [Paper]
with Boragan Aruoba & Jeremy Nalewaik & Francis Diebold & Frank Schorfheide [Code] [GDP Plus] - Journal of Econometrics 2016
Real-Time Forecasting with a Mixed-Frequency VAR [Paper]
with Frank Schorfheide [Code] - Journal of Business and Economic Statistics 2015
Code
Matlab code for Hamilton, Kalman, Particle filter [Code]