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

Publications

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


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