Dongho Song

Associate Professor of Finance
Johns Hopkins University
Carey Business School

dongho.song@jhu.edu
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Dongho Song

Working Papers

  1. The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls, [Anderson Review], with Mikhail Chernov and Vadim Elenev, 2024
  2. Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects, [Geopolitical Fragmentation Index], with Jesús Fernández-Villaverde and Tomohide Mineyama, 2024
  3. Inflation and Real Activity over the Business Cycle, with Francesco Bianchi and Giovanni Nicolò, 2024
    (Review of Economic Studies, R&R)
  4. The Real Channel for Nominal Bond-Stock Puzzles, with Mikhail Chernov and Lars Lochstoer, 2023
    (Journal of Finance, R&R)
  5. Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements, with Taeyoung Doh and Shu-Kuei Yang, 2023
    (American Economic Journal: Macroeconomics, R&R)
  6. Leaning Against the Data: Policymaker Communications under State-based Forward Guidance, with Taeyoung Doh and Joseph Gruber, 2022

Publications

  1. The Term Structure of Covered Interest Rate Parity Violations, with Patrick Augustin, Mikhail Chernov, Lukas Schmid, Journal of Finance, 2024, Volume 79, Issue 3, pp. 2077-2114
  2. Fearing the Fed: How Wall Street Reads Main Street, with Vadim Elenev, Tzuo Law, and Amir Yaron, Journal of Financial Economics, 2024, Volume 153, 103790
  3. Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic, with Frank Schorfheide, International Journal of Central Banking, 2024, Volume 20, Number 4, pp. 275-320
  4. The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates, with Francesco Bianchi and Giada Bianchi, Journal of Economic Dynamics and Control, 2023, Volume 146, 104581
  5. News-Driven Uncertainty Fluctuations, with Jenny Tang, Journal of Business and Economic Statistics, 2023, Volume 41, Issue 3, pp. 968-982
  6. The Term Structure of Equity Risk Premia, with Ravi Bansal, Shane Miller, and Amir Yaron, Journal of Financial Economics, 2021, Volume 142, Issue 3, pp. 1209-1228
  7. Benchmark Interest Rates when the Government is Risky, with Patrick Augustin, Mikhail Chernov, and Lukas Schmid, Journal of Financial Economics, 2021, Volume 140, Issue 1, pp. 74-100
  8. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads, with Patrick Augustin and Mikhail Chernov, Journal of Financial Economics, 2020, Volume 137, Issue 1, pp. 129-151
  9. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach, with Frank Schorfheide and Amir Yaron, Econometrica, 2018, Volume 86, Issue 2, pp. 617-654
  10. Bond Market Exposures to Macroeconomic and Monetary Policy Risks, Review of Financial Studies, 2017, Volume 30, Issue 8, pp. 2761-2817
  11. Improving GDP Measurement: A Measurement-Error Perspective, with Borağan Aruoba, Francis Diebold, Jeremy Nalewaik, and Frank Schorfheide, Journal of Econometrics, 2016, Volume 191, Issue 2, pp. 384-397
  12. Real-time Forecasting with a Mixed-Frequency VAR, with Frank Schorfheide, Journal of Business and Economic Statistics, 2015, Volume 33, Issue 3, pp. 366-380