Dongho Song

Johns Hopkins University - Carey Business School

Baltimore, MD 20036-1984

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 26,912

SSRN RANKINGS

Top 26,912

in Total Papers Downloads

3,834

TOTAL CITATIONS
Rank 2,718

SSRN RANKINGS

Top 2,718

in Total Papers Citations

213

Scholarly Papers (22)

1.

Fearing the Fed: How Wall Street Reads Main Street

Number of pages: 55 Posted: 28 Dec 2017 Last Revised: 16 Sep 2024
Johns Hopkins University, University of Pennsylvania, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 604 (90,106)
Citation 14

Abstract:

Loading...

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
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 465 (124,259)
Citation 37

Abstract:

Loading...

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

3.

Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements

Federal Reserve Bank of Kansas City Working Paper Forthcoming
Number of pages: 48 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 397 (149,597)
Citation 6

Abstract:

Loading...

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

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 187 (320,230)
Citation 4

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

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 103 (521,180)
Citation 1

Abstract:

Loading...

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 67 (677,736)
Citation 1

Abstract:

Loading...

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
Downloads 2 (1,278,740)
  • Add to Cart

Abstract:

Loading...

Bayesian inference, COVID-19, Macroeconomic forecasting, Minnesota Prior, real-time data, Survey of Professional Forecasters, vector autoregressions

5.

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 359 (167,170)
Citation 27

Abstract:

Loading...

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

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 91 (566,663)

Abstract:

Loading...

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

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 61 (711,022)
Citation 1

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: 06 Feb 2023
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 58 (728,501)
Citation 1

Abstract:

Loading...

7.
Downloads 193 (311,717)
Citation 5

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 157 (373,655)
Citation 4

Abstract:

Loading...

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
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 35 (897,750)

Abstract:

Loading...

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
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Johns Hopkins University - Carey Business School
Downloads 1 (1,292,280)
Citation 1
  • Add to Cart

Abstract:

Loading...

bond yield curve, bond-stock comovement, equity yield curve, permanent and transitory components of consumption

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 90 (570,536)
Citation 3

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 46 (808,693)
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 2022
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 39 (863,657)
Citation 20

Abstract:

Loading...

9.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
University of Münster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 161 (365,718)
Citation 2

Abstract:

Loading...

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

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
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 79 (618,784)
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 2023
University of Pennsylvania - Department of Economics, Johns Hopkins University - Carey Business School and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads 26 (985,297)
Citation 36

Abstract:

Loading...

11.

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
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 115 (477,033)
Citation 1

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: 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 109 (499,497)

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: 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 1 (1,292,280)
Citation 3
  • Add to Cart

Abstract:

Loading...

COVID-19, Life Expectancy, Mortality, Unemployment rate

The Term Structure of Covered Interest Rate Parity Violations

NBER Working Paper No. w27231
Number of pages: 53 Posted: 26 May 2020 Last Revised: 29 May 2022
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 104 (517,450)
Citation 1

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 5 (1,266,164)
Citation 2
  • Add to Cart

Abstract:

Loading...

14.

The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls

Number of pages: 41 Posted: 21 Nov 2024
Mikhail Chernov, Vadim Elenev and Dongho Song
UCLA Anderson, Johns Hopkins University and Johns Hopkins University - Carey Business School
Downloads 94 (549,269)

Abstract:

Loading...

Election forecasting, prediction markets, state correlations, voter preferences

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
McGill University, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 67 (677,736)

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 (1,278,740)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

16.

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 Bank of Boston
Downloads 67 (665,974)
Citation 3

Abstract:

Loading...

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

17.

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 60 (702,768)
Citation 23

Abstract:

Loading...

18.
Downloads 49 (768,938)
Citation 2

Inflation and Real Activity Over the Business Cycle

FEDS Working Paper No. 2023-38
Number of pages: 53 Posted: 06 Sep 2023
Johns Hopkins University, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 34 (906,847)
Citation 2

Abstract:

Loading...

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
Johns Hopkins University, Board of Governors of the Federal Reserve System and Johns Hopkins University - Carey Business School
Downloads 15 (1,112,123)

Abstract:

Loading...

19.
Downloads 46 (789,239)
Citation 15

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
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 45 (816,130)

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 1 (1,292,554)
Citation 15
  • Add to Cart

Abstract:

Loading...

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

20.

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 42 (817,754)

Abstract:

Loading...

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

21.

Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects

Number of pages: 68 Posted: 02 Oct 2024
University of Pennsylvania - Department of Economics, International Monetary Fund (IMF) and Johns Hopkins University - Carey Business School
Downloads 35 (873,224)

Abstract:

Loading...

Dynamic factor model, causality, geopolitical fragmentation, fragmentation index

22.

Are We Fragmented Yet? Measuring Geopolitical Fragmentation and its Causal Effect

NBER Working Paper No. w32638
Number of pages: 65 Posted: 02 Jul 2024
University of Pennsylvania - Department of Economics, International Monetary Fund (IMF) and Johns Hopkins University - Carey Business School
Downloads 10 (1,134,413)
  • Add to Cart

Abstract:

Loading...