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