Biography: 

Zhaogang Song is a Professor of Finance at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, Song held the position of Economist at the Board of Governors of the Federal Reserve System, where he was responsible for monitoring and analyzing developments in financial markets for the Federal Open Market Committee (FOMC).

Song conducts academic research on financial markets and real estate finance, focusing on asset prices, market structure and liquidity, nonbank financial intermediaries, FinTech, monetary policy, China financial markets, and financial econometrics. He has published research articles in leading academic journals such as the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Monetary Economics, Journal of Econometrics, Management Science, and China Economic Review. He has won various research awards such as the NASDAQ Best Paper Award in Market Microstructure, the Dennis J. Aigner Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics, the Q Group Research Award, the Research Award of the Global Association of Risk Professionals, and the Research Award of the Montreal Institute of Structured Products and Derivatives.  

Song also actively involves in policy issues on financial markets and investment practice of financial industry. He served as an Academic Expert for the US Commodity Futures Trading Commission (CFTC), consulted with the Dimensional Fund Advisors (DFA) on fixed-income investment, has been a visiting scholar at the Federal Reserve Bank of Philadelphia, and serves as a scholar of the Thematic Research Programme at the Hong Kong Institute for Monetary and Financial Research. He published articles in practitioners and policy outlets including the Journal of Investment Management and the Liberty Street Economics of the Federal Reserve Bank of New York. His research has been featured in Bloomberg, Fortune, Mortgage News Daily, and the reports of U.S. Securities and Exchange Commission (SEC) and U.S. Government Accountability Office.  

Song holds a PhD in Economics from Cornell University, as well as a BA in Management Science and Engineering and a MA in Finance, both from Shandong University, China.

Employment: 

• 2015 — Present: Johns Hopkins University, Carey Business School

  • Professor (August 2022 — ) 

  • Associate Professor (August 2018 — August 2022) 

  • Assistant  Professor (August 2015 — August 2018)  

• 2011 — 2015: Board of Governors of the Federal Reserve System

  • Economist, Monetary and Financial Market Analysis Section, Division of Monetary Affairs 

Education: 

• Ph.D. in Economics (concentration in Finance), Cornell University, U.S., 2006 — 2011.

• B.A. in Management Science and Engineering, and M.A. in Finance, Shandong University, China, 1998 — 2006.

Research Specialization:  

• Asset Pricing, Market Structure and Liquidity

• Real estate finance, Nonbank Financial Intermediaries

• FinTech: Payment, Credit, Crypto, Data

• China Financial Markets and Monetary Policy

• Financial Econometrics

Publications:

1. “Monetary Transmission and Government Investment in China” (with Qian Han, Yufei Yuan, Yuanhang Zhao)

• China Economic Review, (December 2023), 82-102049

2. “Does the Federal Reserve Obtain Competitive and Appropriate Prices in Monetary Policy Implementation?” (with Yu An)

• Review of Financial Studies, (October 2023), 36-10: 4113-4157

3.  “Asset Pricing with Cohort-Based Trading in MBS Markets", (with Nicola Fusari, Wei Li, Haoyang Liu)

• Journal of Finance, (December 2022), 77-6: 3249-3287

4. “Commonality in Credit Spread Changes: Dealer Inventory and Intermediary Distress”, Slides  (with Zhiguo He, Paymon Khorrami)

• Review of Financial Studies, (October 2022), 35-10: 4630-4673

5. “Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises", (with Gustavo Cortes, George Gao, Felipe Silva)

• Journal of International Money and Finance, (April 2022), 122:102-543

• The most cited articles published since 2020 

6. "Treasury Inconvenience Yields during the COVID-19 Crisis"’, (with Zhiguo He, Stefan Nagel) 

• Journal of Financial Economics, (January, 2022), 143-1: 57-79 

• Policy/Practitioner Coverage: Report of U.S. Government Accountability Office     

7. "Disagreement Beta" (with George Gao, Xiaomeng Lu, Hongjun Yan )   

• Journal of Monetary Economics, (November, 2019), 107: 96-113  

• Practitioner Coverage: Refinitiv White Papers 

8. "Mortgage Dollar Roll” (with Haoxiang Zhu )   

• Review of Financial Studies, (August, 2019), 32-8: 2955-2996 

• Media/Practitioner Coverage: Mortgage News Daily, Goldman Sachs   

9. "Tail Risk Concerns Everywhere", (Data), (with George Gao, Xiaomeng Lu)

• Management Science (July 2019), 65-7: 3111-3330             

• 2013 GARP Research Award

• 2014 TCFA Best Paper Award 

10. "Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market"’, (with Paul Schultz)

• Journal of Financial Economics (July 2019), 133-1: 113 -133   

11. “Do Hedge Funds Exploit Rare Disaster Concerns?” (Data), (with George Gao, Pengjie Gao

• Review of Financial Studies, (July, 2018), 31-7: 2650-2692

• 2013 Q Group Research Award     

12. "Quantitative Easing Auctions of Treasury Bonds” (with Haoxiang Zhu )   

• Journal of Financial Economics, (April, 2018), 128-1: 103-124

• Media/Practitioner Coverage: FORTUNE, BloombergView 

13. "Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the MBS Market”, (with Pengjie Gao, Paul Schultz)

• Journal of Finance, (June 2017), 72-3: 1119-1170

• Media/Practitioner Coverage: PIMCO on Liquidity

14. "The Value of Trading Relations in Turbulent Times” (with Marco Di Maggio, Amir Kermani)

• Journal of Financial Economics, (May, 2017), 124-2: 266-284

• NASDAQ Best Paper Award in Market Microstructure -- FMA 2016

• Media/Policy Coverage: VOX, SEC’s 2017 Report to Congress  

15. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk” (with Dacheng Xiu)

• Journal of Econometrics, (January, 2016), 190-1: 176-196

• Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics in 2015 - 2016

• Best Paper Award in Derivatives - 2012 International Symposium on Risk Management and Derivatives    

16. "Testing Whether the Underlying Continuous-Time Model Follows a Diffusion: an Infinitesimal Operator-Based Approach” (with Bin Chen)

• Journal of Econometrics, (March, 2013), 173-1: 83-107

17. "A Martingale Approach for Testing Diffusion Models Based on Infinitesimal Operator”

• Journal of Econometrics, (June, 2011), 162-2: 189-212

Practioner, Policy, and Speciallized-Field Works:  

1. "Term Structure of Interest Rates with Short-Run and Long-Run Risks”, (with Olesya Grishchenko, Hao Zhou)  

• Journal of Finance and Data Science (November 2022), 8: 255-295

• The Outstanding Paper in Fixed-Income Award for JFDS

2. "Did Dealers Fail to Make Markets during the Pandemic?"”, (with Jiakai Chen, Haoyang Liu, David Rubio, Asani Sarkar) 

• Liberty Street Economics, Federal Reserve Bank of New York  (March 2021)

3. "MBS Market Dysfunctions in the Time of COVID-19", (with Jiakai Chen, Haoyang Liu, David Rubio, Asani Sarkar)  

• Liberty Street Economics, Federal Reserve Bank of New York  (July 2020)

4. "Trading Methods and Trading Costs for Agency Mortgage-Backed Securities”, (with Pengjie Gao, Paul Schultz)  

• Journal of Investment Management (October 2018), 16-4: 29-46

Lecture Notes (under development)  

1. "A Graduate Course in Fixed-Income Markets: Pricing, Liquidity, and Institutions”

2. "A Graduate Course in Applied Econometrics for Empirical Finance”

Recent Working Papers:

1. “Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Market in the COVID-19 Crisis” with Jiakai Chen, Haoyang Liu, Asani Sarkar, January, 2024 

• A set of empirical evidence on the liquidity provision by dealers and the Federal Reserve in agency MBS markets during the COVID-19 crisis, which can be used for modeling, evaluating, and optimally designing the Fed's new policy role as the "dealer of last resort". 

• Policy/Practitioner Coverage: Speech of NY Fed President John Williams; Congressional Research Service

2. “Agency MBS as Safe Assets”, with Zhiguo He, November 2022

• Agency MBS is a major class of long-term safe assets, whose average convenience premium is about half of that for Treasury bonds.  

• Practitioner Coverage: Inside Mortgage Finance

3. "Dealer Expertise and Market Concentration in OTC Trading”, with Wei Li, January, 2024 

• The formation of (customer-dealer) OTC market structure with dealers' endogenous expertise acquisition

4. “TBA Trading and Security Issuance in the Agency MBS Market” with Yu An, Wei Li, December, 2023.

• Theoretical and empirical analyses of issuers' strategies of packaging loans into MBS in response to the existence of the cohort-based TBA trading mechanism; the economic benefit is about 40% (15%) of the average trading cost for large (small) issuers. 

5. “Shadow Bank and Fintech Mortgage Securitization” with Yu An, Lei Li, Haoyang Liu,  April, 2022. 

• We study the choices of traditional banks and shadow banks (including fintech lenders) among three primary securitization venues in agency mortgage markets. Traditional banks cross-subsidize shadow banks greatly. 

6. “Defragmenting Markets: Evidence from Agency MBS”, with  Haoyang Liu, James Vickery, December 2021

• The consolidation of the Fannie Mae and Freddie Mac MBS trading improves the liquidity of the latter without hurting that of the former.

• Policy/Practitioner Coverage: Inside Mortgage Finance

7. “Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading”, with Wei Li, October 2023

• Asset heterogeneity leads to market fragmentation and exacerbates search friction; a quasi-consolidated trading design, in which a cohort of heterogeneous assets are sold at the same price, promotes market liquidity by pooling multiple sellers and buyers together. 

8. “The Expected Returns of Agency MBS”, with Savina Rizova, Samuel Yusun Wang, Mingzhe Yi, October 2023

• A new and comprehensive framework for the cross section of expected turns of agency MBS. 

Recent Discussions:

• “Frictional Intermediation, Inventory Hedging, and the Rise of Portfolio Trading in the Corporate Bond Market” (by Jessica Li) 

          AFA, New Orleans, 2023, [Slides] 

• “Bond Convenience Yields in the Eurozone Currency Union” (by Zhengyang Jiang, Hanno Lustig, Stijn Van Nieuwerburgh, and Mindy Z. Xiaolan)

          WFA, Portland, 2022, [Slides] 

• “Hedge Funds and the Treasury Cash-Futures Disconnect” (by Daniel Barth and Jay Kahn) 

          5th Annual Short Term Funding Markets Conference, CFP and Federal Reserve Board of Governors, Virtual, 2022, [Slides] 

• “Long-Horizon Returns of Stocks, Bonds, and Bills: Evidence from a Broad Sample of Developed Markets” (by Aizhan Anarkulova, Scott Cederburg, and Michael S. O'Doherty) 

          MFA, Virtual, 2022, [Slides] 

• “Dealer Networks and the Cost of Immediacy” (by Jens Dick-Nielsen, Thomas Poulsen, and Obaidur Rehman) 

          CICF, Virtual, 2021, [Slides] 

• “When Safe becomes Risky: The information sensitivity of subprime RMBS” (by Narananan and Rhodes)  

         4th Annual Short Term Funding Markets Conference, CFP and Federal Reserve Board of Governors, Virtual, 2021, [Slides] 

• “Marginal Constraints and Asset Prices” (by Jake Ahn) 

          MFA, Virtual, 2021, [Slides] 

• “The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market” (by Yesol Huh, You Suk Kim) 

          WFA, San Francisco, 2020, [Slides] 

• “Do Municipal Bond Dealers Give their Customers `Fair and Reasonable' Pricing?” (John Griffin, Nicholas Hirschey, and Samuel Kruger)

          AFA, San Diego, 2020, [Slides] 

• “Trader Positions and Marketwide Liquidity Demand” (by Esen Onur, John Roberts, and Tugkan Tuzun)

         MFA, Chicago, 2019, [Slides] 

• “Bond Risk Premia with Machine Learning” (Daniele Bianchi, Matthias Buuchner, and Andrea Tamoni)

         Georgia State FinTech Conference, 2019, [Slides] 

• “Liquidity Creation as Volatility Risk” (by Itamar Drechsler, Alan Moreira, Alexi Savov) 

         JHU Carey Finance Conference, Baltimore, 2018, [Slides] 

• “Discriminatory Pricing of Over-the-Counter Derivatives” (by Harald Hau, Peter Hoffmann, Sam Langfield, Yannick Timmer)

          SFS Cavalcade, New Haven, 2018, [Slides] 

• “Financial Information and Macroeconomic Forecasting” (by Sophia Chen and Romain Rancierre)

          IMF Workshop on Forecasting, DC, 2017, [Slides] 

• “Hedge Fund Tail Risk: Hedging Mechanisms and Performance” (by Juha Joenvaara and Mikko Kauppila)

      FIRS, Lisbon, 2016, [Slides] 

Inactive Working Papers:  

• "Dealer Disagreement and Asset Prices in FX Markets”, (with Brandon Han and Sophia Li)

• "Tail Risk in Fixed-Income Markets”, (with Haitao Li)  

             The Montreal Institute of Structured Finance and Derivatives (IFSID) Award, 2013

• "An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve”, (with Pietro Bonaldi, Ali Hortacsu) 

            Finance and Economics Discussion Series 2015-082. Board of Governors of the Federal Reserve System, 2015