Dongho Song

Johns Hopkins University - Carey Business School

Baltimore, MD 20036-1984

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 37,310

SSRN RANKINGS

Top 37,310

in Total Papers Downloads

1,558

SSRN CITATIONS
Rank 3,858

SSRN RANKINGS

Top 3,858

in Total Papers Citations

231

CROSSREF CITATIONS

123

Scholarly Papers (17)

1.

Bond Market Exposures to Macroeconomic and Monetary Policy Risks

(Forthcoming) Review of Financial Studies
Number of pages: 71 Posted: 02 May 2014 Last Revised: 04 Jan 2017
Dongho Song
Johns Hopkins University - Carey Business School
Downloads 300 (124,914)
Citation 27

Abstract:

Loading...

Monetary Policy Risks, Macroeconomic Risks, Regime Switching, Term Structure

2.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 44 Posted: 28 Dec 2017 Last Revised: 06 May 2018
Tzuo Hann Law, Dongho Song and Amir Yaron
University of Pennsylvania, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 253 (148,879)
Citation 9

Abstract:

Loading...

Macroeconomic news announcements, cyclical return variation, interest rate expectations, phase of business cycle, output gap, return decomposition.

3.

The Term Structure of Equity Risk Premia

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 75 Posted: 01 Dec 2019
Ravi Bansal, Amir Yaron, Shane Miller and Dongho Song
Duke University, University of Pennsylvania -- Wharton School of Business, University of Michigan - Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 194 (191,470)
Citation 4

Abstract:

Loading...

Asset pricing, business cycle phases, dividend strips, equity term structure, regime switching

Improving GDP Measurement: A Forecast Combination Perspective

PIER Working Paper No. 11-028
Number of pages: 30 Posted: 09 Sep 2011
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 67 (412,428)

Abstract:

Loading...

National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession

Improving GDP Measurement: a Forecast Combination Perspective

NBER Working Paper No. w17421
Number of pages: 30 Posted: 21 Sep 2011 Last Revised: 07 Feb 2021
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 37 (537,530)
Citation 1

Abstract:

Loading...

Improving GDP Measurement: A Forecast Combination Perspective

FRB of Philadelphia Working Paper No. 11-41
Number of pages: 30 Posted: 21 Sep 2011
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 35 (548,406)
Citation 1

Abstract:

Loading...

National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession

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

PIER Working Paper No. 20-039
Number of pages: 19 Posted: 01 Dec 2020
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 105 (313,164)
Citation 7

Abstract:

Loading...

Bayesian inference; COVID-19; Macroeconomic Forecasting; Minnesota Prior; Real-time data; Vector autoregressions

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

FRB of Philadelphia Working Paper No. 20-26
Number of pages: 19 Posted: 14 May 2021
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 11 (720,074)
Citation 1

Abstract:

Loading...

6.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 109 (303,347)
Citation 2

Abstract:

Loading...

Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

Improving GDP Measurement: A Measurement-Error Perspective

PIER Working Paper No. 13-016
Number of pages: 36 Posted: 04 Apr 2013
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 66 (415,815)

Abstract:

Loading...

Income, output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination

Improving GDP Measurement: A Measurement-Error Perspective

FRB of Philadelphia Working Paper No. 13-16
Number of pages: 36 Posted: 11 May 2013
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 20 (647,960)
Citation 1

Abstract:

Loading...

Income, Output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination

Improving GDP Measurement: A Measurement-Error Perspective

NBER Working Paper No. w18954
Number of pages: 36 Posted: 13 Apr 2013 Last Revised: 17 Apr 2021
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics, Board of Governors of the Federal Reserve System, University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 13 (703,326)
Citation 20

Abstract:

Loading...

The Long-Term Impact of the Covid-19 Unemployment Shock on Life Expectancy and Mortality Rates

NBER Working Paper No. w28304
Number of pages: 52 Posted: 04 Jan 2021 Last Revised: 20 Jul 2021
Francesco Bianchi, Giada Bianchi and Dongho Song
Duke University, Harvard University - Harvard Medical School and Johns Hopkins University - Carey Business School
Downloads 75 (387,316)

Abstract:

Loading...

The Long-Term Impact of the Covid-19 Unemployment Shock on Life Expectancy and Mortality Rates

CEPR Discussion Paper No. DP15605
Number of pages: 56 Posted: 11 Feb 2021 Last Revised: 14 May 2021
Francesco Bianchi, Giada Bianchi and Dongho Song
Duke University, Harvard University - Harvard Medical School and Johns Hopkins University - Carey Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

FRB of Philadelphia Working Paper No. 13-39
Number of pages: 53 Posted: 29 Sep 2013
Frank Schorfheide, Dongho Song and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 52 (467,862)
Citation 3

Abstract:

Loading...

Consumption (Economics), Bayesian Estimates

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

NBER Working Paper No. w20303
Number of pages: 57 Posted: 24 Jul 2014 Last Revised: 24 Jun 2021
Frank Schorfheide, Dongho Song and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 11 (720,074)
Citation 36

Abstract:

Loading...

10.

Fearing the Fed: How Wall Street Reads Main Street

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 44 Posted: 30 Nov 2019
Amir Yaron, Tzuo Hann Law and Dongho Song
University of Pennsylvania -- Wharton School of Business, affiliation not provided to SSRN and Johns Hopkins University - Carey Business School
Downloads 62 (423,823)

Abstract:

Loading...

Macroeconomic news announcements, cyclical return variation, monetary policy expectations, business cycle, news decomposition, risk premium

11.

The Term Structure of Equity Risk Premia

NBER Working Paper No. w25690
Number of pages: 51 Posted: 26 Mar 2019 Last Revised: 13 Mar 2021
Ravi Bansal, Shane Miller, Dongho Song and Amir Yaron
Duke University and NBER, University of Michigan - Ross School of Business, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 52 (460,149)
Citation 1

Abstract:

Loading...

12.

News-Driven Uncertainty Fluctuations

FRB of Boston Working Paper No. 18-3
Number of pages: 67 Posted: 09 Aug 2018 Last Revised: 21 Feb 2019
Dongho Song and Jenny Tang
Johns Hopkins University - Carey Business School and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 28 (574,558)

Abstract:

Loading...

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

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018 Last Revised: 18 Jun 2021
McGill University, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 26 (604,068)

Abstract:

Loading...

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

CEPR Discussion Paper No. DP12857
Number of pages: 73 Posted: 16 Apr 2018
McGill University, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (798,951)
Citation 1
  • Add to Cart

Abstract:

Loading...

contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

14.

Real-Time Forecasting with a Mixed-Frequency VAR

NBER Working Paper No. w19712
Number of pages: 50 Posted: 10 Dec 2013 Last Revised: 13 May 2021
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 20 (627,133)
Citation 23

Abstract:

Loading...

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019 Last Revised: 09 Apr 2021
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 8 (745,186)
  • Add to Cart

Abstract:

Loading...

Benchmark Interest Rates When the Government is Risky

CEPR Discussion Paper No. DP14105
Number of pages: 74 Posted: 15 Nov 2019 Last Revised: 02 Dec 2019
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

negative swap rates, recursive preferences, sovereign credit risk, term structure

16.

The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 60 Posted: 22 Jul 2021
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 7

Abstract:

Loading...

Consumption dynamics, Stocks, Bonds, Term Structure

The Term Structure of Cip Violations

NBER Working Paper No. w27231
Number of pages: 50 Posted: 26 May 2020 Last Revised: 29 May 2021
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 5 (770,842)
  • Add to Cart

Abstract:

Loading...

The Term Structure of Cip Violations

CEPR Discussion Paper No. DP14774
Number of pages: 52 Posted: 28 May 2020 Last Revised: 11 Feb 2021
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...