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