Dongho Song

Assistant Professor of Finance

Johns Hopkins Carey Business School


  • Ph.D. in Economics, 2014
  • University of Pennsylvania


  • 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


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