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  
  • Board of Governors of the Federal Reserve System
    • Economist, July 2011 - August 2015

  • Cornell University, 2006 - 2011 
    • Ph.D in Economics 


  • Fields: Asset Pricing, Market Microstructure, Financial Intermediation, Financial Econometrics
  • Focus: How financial intermediaries affect asset prices, market liquidity, and security issuance, of OTC-traded fixed-income securities particularly, and their connections with monetary and macroeconomic policies.

                Journal of Monetary Economics, (2018, forthcoming)   
                Review of Financial Studies, (2018, forthcoming)
                       Media/Practitioner Coverage: Mortgage News DailyGoldman Sachs      

            Journal of Financial Economics (2018, forthcoming)                

            Management Science (2018, forthcoming)             

                        2013 GARP Research Award, 2014 TCFA Best Paper Award  
                     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 simple theoretical framework to analyze the trading and information intermediation by dealers in their relationship network with customers in OTC markets
          • Short run and long run consumption risks drive the yield curve dynamics
                      AFA (2017), SFS Cavalcade (2016), Finance Down Under (2016), FRIS (2017)
        • ‘‘An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve’’, with Pietro Bonaldi, and Ali Hortacsu, August 2015      
          • A non-parametric structural analysis of the Federal Reserve's purchase auctions of agency MBS in quantitative easing. 

        • "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