Dongho Song

Associate Professor of Finance
Johns Hopkins University
Carey Business School


  • Ph.D. in Economics, University of Pennsylvania, 2014


  • Macro-Finance
  • Time Series Econometrics

Working Papers


The Term Structure of Equity Risk Premia, Journal of Financial Economics, 2021

with Ravi Bansal, Shane Miller, and Amir Yaron

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