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


with Mikhail Chernov and Lars A. Lochstoer; November 2021

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic


with Frank Schorfheide; MATLAB Code; Regularly updated forecasts are available here ; November 2021

The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates


with Francesco Bianchi and Giada Bianchi; September 2021

The Term Structure of CIP Violations


with Patrick Augustin, Mikhail Chernov, and Lukas Schmid; Click here for Poster; May 2021

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

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