Dongho Song

Johns Hopkins University - Carey Business School

Baltimore, MD 20036-1984

United States

  • Johns Hopkins University - Carey Business School

SCHOLARLY PAPERS

19

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439

CROSSREF CITATIONS

132

Scholarly Papers (19)

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1.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 55 Posted: 28 Dec 2017 Last Revised: 21 Jul 2022
Vadim Elenev, Tzuo Hann Law, Dongho Song, Amir Yaron and Amir Yaron
Johns Hopkins Carey Business School, University of Pennsylvania, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 434 (116,019)
Citation 11

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Cyclical return variation, macroeconomic news announcements, monetary policy expectations, news decomposition.

2.

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, Amir Yaron, Shane Miller and Dongho Song
Duke University, Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business, University of Michigan - Stephen M. Ross School of Business and Johns Hopkins University - Carey Business School
Downloads 404 (126,126)
Citation 28

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

3.

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 331 (157,074)
Citation 27

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

4.

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

Downloads 310 (168,432)
Citation 14

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 176 (289,779)
Citation 4

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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

NBER Working Paper No. w29535
Number of pages: 29 Posted: 07 Dec 2021 Last Revised: 15 Mar 2023
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 77 (534,367)
Citation 1

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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 57 (629,384)
Citation 1

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

CEPR Discussion Paper No. DP16760
Number of pages: 31 Posted: 10 Feb 2022
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
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Bayesian inference, COVID-19, Macroeconomic forecasting, Minnesota Prior, real-time data, Survey of Professional Forecasters, vector autoregressions

5.

Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements

Federal Reserve Bank of Kansas City Working Paper Forthcoming
Number of pages: 47 Posted: 15 Jun 2022
Taeyoung Doh, Dongho Song and Shu-Kuei Yang
Federal Reserve Bank of Kansas City, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Kansas City
Downloads 274 (191,385)
Citation 3

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Alternative FOMC statements, counterfactual policy evaluation, monetary policy stance, text analysis, natural language processing

6.

Improving GDP Measurement: A Forecast Combination Perspective

Downloads 190 (271,143)
Citation 4

Improving GDP Measurement: A Forecast Combination Perspective

PIER Working Paper No. 11-028
Number of pages: 30 Posted: 09 Sep 2011
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 87 (495,702)

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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: 06 Feb 2023
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 53 (652,078)
Citation 1

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Improving GDP Measurement: A Forecast Combination Perspective

FRB of Philadelphia Working Paper No. 11-41
Number of pages: 30 Posted: 21 Sep 2011
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 50 (669,880)
Citation 1

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

7.

Improving GDP Measurement: A Measurement-Error Perspective

Downloads 146 (339,241)
Citation 25

Improving GDP Measurement: A Measurement-Error Perspective

PIER Working Paper No. 13-016
Number of pages: 36 Posted: 04 Apr 2013
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 82 (514,256)
Citation 3

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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
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 34 (782,143)
Citation 1

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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 2022
S. Borağan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song
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 30 (815,188)
Citation 20

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8.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Münster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 143 (344,940)
Citation 2

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

9.

The Real Explanation of Nominal Bond-Stock Puzzles

Downloads 142 (346,894)
Citation 3

The Real Explanation of Nominal Bond-Stock Puzzles

Number of pages: 60 Posted: 22 Jul 2021
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 128 (376,876)
Citation 3

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Consumption dynamics, Stocks, Bonds, Term Structure

The Real Channel for Nominal Bond-Stock Puzzles

NBER Working Paper No. w29085
Number of pages: 60 Posted: 26 Jul 2021 Last Revised: 22 Jun 2023
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 14 (970,870)

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The Real Channel for Nominal Bond-Stock Puzzles

CEPR Discussion Paper No. DP16381
Number of pages: 62 Posted: 22 Sep 2021 Last Revised: 04 Feb 2022
Mikhail Chernov, Lars A. Lochstoer and Dongho Song
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
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bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

10.

The Term Structure of Equity Risk Premia

NBER Working Paper No. w25690
Number of pages: 51 Posted: 26 Mar 2019 Last Revised: 29 Jul 2022
Ravi Bansal, Shane Miller, Dongho Song, Amir Yaron and Amir Yaron
Duke University and NBER, University of Michigan - Stephen M. Ross School of Business, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 104 (437,148)
Citation 1

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11.

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

Downloads 103 (440,151)
Citation 3

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

NBER Working Paper No. w28304
Number of pages: 60 Posted: 04 Jan 2021 Last Revised: 12 Jun 2023
Francesco Bianchi, Giada Bianchi and Dongho Song
Johns Hopkins University, Harvard University - Harvard Medical School and Johns Hopkins University - Carey Business School
Downloads 103 (443,023)

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

CEPR Discussion Paper No. DP15605
Number of pages: 62 Posted: 11 Feb 2021 Last Revised: 22 Sep 2021
Francesco Bianchi, Giada Bianchi and Dongho Song
Johns Hopkins University, Harvard University - Harvard Medical School and Johns Hopkins University - Carey Business School
Downloads 0
Citation 3
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COVID-19, Life Expectancy, Mortality, Unemployment rate

12.

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

Downloads 83 (474,399)
Citation 98

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, Amir Yaron and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 64 (593,018)
Citation 3

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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 2023
Frank Schorfheide, Dongho Song, Amir Yaron and Amir Yaron
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 19 (918,087)
Citation 36

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13.

The Term Structure of Cip Violations

Downloads 86 (494,603)
Citation 2

The Term Structure of Cip Violations

NBER Working Paper No. w27231
Number of pages: 50 Posted: 26 May 2020 Last Revised: 29 May 2022
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 86 (499,341)
Citation 1

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The Term Structure of Cip Violations

CEPR Discussion Paper No. DP14774
Number of pages: 52 Posted: 28 May 2020 Last Revised: 11 Feb 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Citation 1
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14.

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

Downloads 58 (613,026)
Citation 12

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 2023
Patrick Augustin, Patrick Augustin, Mikhail Chernov and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 56 (634,931)

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

CEPR Discussion Paper No. DP12857
Number of pages: 73 Posted: 16 Apr 2018
Patrick Augustin, Patrick Augustin, Mikhail Chernov and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (1,081,530)
Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

15.

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 56 (623,391)
Citation 2

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Bayesian learning, discrete environment, Minsky moment, news shocks, recursive utility, risk premiums, survey forecasts, uncertainty

16.

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 2023
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 54 (633,935)
Citation 23

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17.

Inflation and Real Activity Over the Business Cycle

Downloads 34 (761,146)

Inflation and Real Activity Over the Business Cycle

FEDS Working Paper No. 2023-38
Number of pages: 53 Posted: 06 Sep 2023
Francesco Bianchi, Giovanni Nicolò and Dongho Song
Johns Hopkins University, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 23 (878,388)

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inflation, real activity, business cycles, trend-cycle VAR

Inflation and Real Activity Over the Business Cycle

NBER Working Paper No. w31075
Number of pages: 52 Posted: 03 Apr 2023 Last Revised: 29 May 2023
Francesco Bianchi, Giovanni Nicolò and Dongho Song
Johns Hopkins University, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 11 (1,002,949)
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18.

Leaning Against the Data: Policymaker Communications under State-based Forward Guidance

Federal Reserve Bank of Kansas City Working Paper No. RWP 22-11, 2022
Number of pages: 18 Posted: 12 Sep 2022
Taeyoung Doh, Joseph Gruber and Dongho Song
Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City and Johns Hopkins University - Carey Business School
Downloads 29 (800,274)

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state-based forward guidance, text analysis, outlook assessment, financial market

19.

Benchmark Interest Rates When the Government is Risky

Downloads 24 (842,475)
Citation 12

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019 Last Revised: 20 Mar 2022
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 24 (868,852)

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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
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Citation 15
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negative swap rates, recursive preferences, sovereign credit risk, term structure