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
Working Papers
Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic, July 2020
with Frank Schorfheide; MATLAB Code; Regularly updated forecasts are available here
A No-Arbitrage Perspective on Global Arbitrage Opportunities, July 2020
with Patrick Augustin, Mikhail Chernov, and Lukas Schmid; Click here for Poster
The Term Structure of Equity Risk Premia, May 2020
with Ravi Bansal, Shane Miller, and Amir Yaron
Deciphering the Fed Communication via Text-Analysis of Alternative FOMC Statements, March 2020
with Taeyoung Doh and Shu-Kuei Yang
Fearing the Fed: How Wall Street Reads Main Street, December 2019
with Tzuo Law and Amir Yaron
News-Driven Uncertainty Fluctuations, October 2019
with Jenny Tang
Publications
Benchmark Interest Rates when the Government is Risky, Journal of Financial Economics, forthcoming, 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