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 [Paper]


with Mikhail Chernov & Lars A. Lochstoer 2021

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


with Frank Schorfheide 2021 [Code] [Real-time forecasts]

The Term Structure of CIP Violations [Paper]


with Patrick Augustin & Mikhail Chernov & Lukas Schmid 2022

Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements [Paper]


with Taeyoung Doh & Shu-Kuei Yang 2022

Fearing the Fed: How Wall Street Reads Main Street [Paper]


with Vadim Elenev & Tzuo Law & Amir Yaron 2022

Leaning Against the Data: Policymaker Communications under State-based Forward Guidance [Paper]


with Taeyoung Doh & Joseph Gruber 2022 [Appendix]

Inflation and Real Activity over the Business Cycle [Paper]


with Francesco Bianchi & Giovanni Nicolo 2022

Publications

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


with Francesco Bianchi & Giada Bianchi - Journal of Economic Dynamics and Control 2023

News-Driven Uncertainty Fluctuations [Paper]


with Jenny Tang [Code] - Journal of Business and Economic Statistics 2022

The Term Structure of Equity Risk Premia [Paper]


with Ravi Bansal & Shane Miller & Amir Yaron - Journal of Financial Economics 2021

Benchmark Interest Rates when the Government is Risky [Paper]


with Patrick Augustin & Mikhail Chernov & Lukas Schmid - Journal of Financial Economics 2020

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads [Paper]


with Patrick Augustin & Mikhail Chernov - Journal of Financial Economics 2020

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach [Paper]


with Frank Schorfheide & Amir Yaron [Code] [Appendix] [State variables] - Econometrica 2018

Bond Market Exposures to Macroeconomic and Monetary Policy Risks [Paper]


Review of Financial Studies 2017

Improving GDP Measurement: A Measurement-Error Perspective [Paper]


with Boragan Aruoba & Jeremy Nalewaik & Francis Diebold & Frank Schorfheide [Code] [GDP Plus] - Journal of Econometrics 2016

Real-Time Forecasting with a Mixed-Frequency VAR [Paper]


with Frank Schorfheide [Code] - Journal of Business and Economic Statistics 2015

Code


Matlab code for Hamilton, Kalman, Particle filter [Code]