Zhaogang Song

The Johns Hopkins Carey Business School

Email:  zsong8@jhu.edu;  

Tel: 410-234-9392


  • The Johns Hopkins Carey Business School,
    • Associate Professor of Finance, August 2018 - Now
    • Assistant  Professor of Finance, August 2015 - August 2018  
  • Federal Reserve Bank of Philadelphia
    • Visiting scholar, January -- December 2020
  • Board of Governors of the Federal Reserve System
    • Economist, July 2011 - August 2015

  • Cornell University, 2006 - 2011 
    • Ph.D in Economics 
  • Fields: Asset Pricing, Financial Intermediation, Market Microstructure, Financial Econometrics
  • Focus: A dealer-bank-centric framework on asset price, market liquidity, and security design, its connections with monetary and macroeconomic policies, and market designs to mitigate related frictions.  


  • Chicago BFI Key Economic Facts about COVID-19
  • Liberty Street Economics at the New York Fed

                Journal of Monetary Economics, (November, 2019), 107: 96-113  
                Review of Financial Studies, (August, 2019), 32-8: 2955-2996
                       Media/Practitioner Coverage: Mortgage News DailyGoldman Sachs      

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

                        2013 GARP Research Award, 2014 TCFA Best Paper Award  

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

                     Journal of Financial Economics, (April, 2018), 128-1: 103-124
                          Media/Practitioner Coverage: FORTUNEBloombergView 
                       Journal of Finance, (June 2017), 72-3: 1119-1170
                        Journal of Financial Economics, (May, 2017), 124-2266-284
                       NASDAQ Best Paper Award in Market Microstructure -- FMA 2016

                       Media Coverage: VOX       

                       Policy Reference: SEC’s 2017 Report to Congress       

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

                          Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics in 2015 - 2016

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

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

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

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

          • A first analysis of asset pricing effects of the unique agency MBS market structure with parallel trading in TBA and SP markets: MBS heterogeneity positively affects expected returns and ratio of SP to TBA trading activities
          • 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. 
          • The formation of (customer-dealer) OTC market structure with dealers' endogenous expertise acquisition  
        • Dealers as Information Intermediaries in Over-the-Counter Markets, with Wei Li    October 2019     
          • A simple theoretical framework to analyze the trading and information intermediation by dealers in their relationship network with customers in OTC markets
        • Agency MBS as Safe Assets, with Zhiguo He, September 2020, Revised    
          • A set of systematic evidence on the economic role of agency MBS as a major class of long-term safe assets, whose average convenience premium is about half of that for Treasury bonds.  
            • Two intermediary-based factors - an intermediary financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variations of credit spread changes beyond canonical structural factors, consist with a stylized model of liquidity-providing dealers with margin/capital constrains of both the whole intermediary organization and the specific asset desks.   
            • Theoretical framework and empirical evidence on the effect of dealers' balance sheet constraints and costs on the Treasury-OIS spread and repo spread during the COVID-19 crisis, as well as the 2007-2009 financial crisis.
            • The US Treasuries' safe asset status is limited by dealers' balance sheet capacity in the current institutional design of Treasury market and post-crisis regulatory framework.
            • A combination of the "scramble-for-cash" liquidity shocks of investors and the balance sheet costs of dealers led to severe price dislocations --- widening basis of cash-forward arbitrage --- in the agency MBS market, while the Fed, in its role as the “dealer of last resort”, absorbed the liquidity demand that dealers lacked the capacity to meet.
            • Primary dealers accumulate MBS inventory from two months before the Fed's disclosed purchase date and a few large dealers acquire the bulk of inventory. In consequence, they charge large uncompetitive pricing: large dealers sell more MBSs and at higher prices to the Fed, and dealers charge discriminatory prices against the Fed relative to non-Fed customers. 
            • Theoretical and empirical analyses of issuers' strategies of packaging loans into mortgage-backed securities 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. 

          • "The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market" (by Yesol Huh and 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

          Seminar/Reading Group I Organize