Dongho Song

Johns Hopkins University - Carey Business School

Baltimore, MD 20036-1984

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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862

CITATIONS
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Top 7,157

in Total Papers Citations

112

Scholarly Papers (10)

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 265 (114,377)
Citation 7

Abstract:

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

2.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 54 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 171 (173,935)
Citation 2

Abstract:

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

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 65 (345,003)

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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: 03 Oct 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 32 (466,888)

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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
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 31 (471,990)

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

4.

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 - Research Center SAFE, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 94 (274,493)
Citation 1

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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 64 (347,847)

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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
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 17 (556,431)

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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
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 11 (596,533)
Citation 15

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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 47 (403,602)
Citation 2

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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
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 9 (610,376)
Citation 3

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7.

The Term Structure of Equity Risk Premia

NBER Working Paper No. w25690
Number of pages: 51 Posted: 26 Mar 2019
Ravi Bansal, Shane Miller, Dongho Song and Amir Yaron
Duke University and NBER, Duke University, Johns Hopkins University - Carey Business School and University of Pennsylvania -- Wharton School of Business
Downloads 16 (542,351)
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8.

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 14 (554,324)

Abstract:

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

9.

Real-Time Forecasting with a Mixed-Frequency VAR

NBER Working Paper No. w19712
Number of pages: 50 Posted: 10 Dec 2013
Frank Schorfheide and Dongho Song
University of Pennsylvania - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 14 (554,324)
Citation 5

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

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 10 (603,411)
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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
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (666,459)
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt