Dongho Song
Associate Professor of Finance
Johns Hopkins University Carey Business School
Research Interests: Asset pricing, Macro-Finance, Time Series Econometrics
Associate Professor of Finance
Johns Hopkins University Carey Business School
Research Interests: Asset pricing, Macro-Finance, Time Series Econometrics
Working Papers
The Real Channel for Nominal Bond-Stock Puzzles | with Mikhail Chernov & Lars A. Lochstoer | 2023 [Paper]
Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements | with Taeyoung Doh & Shu-Kuei Yang | 2023 [Paper]
Inflation and Real Activity over the Business Cycle | with Francesco Bianchi & Giovanni Nicolo | 2023 [Paper]
Leaning Against the Data: Policymaker Communications under State-based Forward Guidance | with Taeyoung Doh & Joseph Gruber | 2022 [Paper]
Publications
Fearing the Fed: How Wall Street Reads Main Street | Journal of Financial Economics | with Vadim Elenev & Tzuo Law & Amir Yaron | forthcoming [Paper]
The Term Structure of CIP Violations | Journal of Finance | with Patrick Augustin & Mikhail Chernov & Lukas Schmid | forthcoming [Paper]
Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic | International Journal of Central Banking | with Frank Schorfheide | forthcoming [Paper] [Code] [Real-time forecasts]
The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates | Journal of Economic Dynamics and Control | with Francesco Bianchi & Giada Bianchi | 2023 [Paper]
News-Driven Uncertainty Fluctuations | Journal of Business and Economic Statistics | with Jenny Tang | 2023 [Paper] [Code]
The Term Structure of Equity Risk Premia | Journal of Financial Economics | with Ravi Bansal & Shane Miller & Amir Yaron | 2021 [Paper]
Benchmark Interest Rates when the Government is Risky | Journal of Financial Economics | with Patrick Augustin & Mikhail Chernov & Lukas Schmid | 2021 [Paper]
Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads | Journal of Financial Economics | with Patrick Augustin & Mikhail Chernov | 2020 [Paper]
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach | Econometrica | with Frank Schorfheide & Amir Yaron | 2018 [Paper] [Code] [Appendix] [State variables]
Bond Market Exposures to Macroeconomic and Monetary Policy Risks | Review of Financial Studies | 2017 [Paper]
Improving GDP Measurement: A Measurement-Error Perspective | Journal of Econometrics | with Boragan Aruoba & Jeremy Nalewaik & Francis Diebold & Frank Schorfheide | 2016 [Paper] [Code] [GDP Plus]
Real-Time Forecasting with a Mixed-Frequency VAR | Journal of Business and Economic Statistics | with Frank Schorfheide | 2015 [Paper] [Code]