Biography: 

Zhaogang Song is a Professor of Finance at the Carey Business School of Johns Hopkins University. Prior to joining Johns Hopkins, he served as an 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 fixed-income markets, financial intermediaries, and monetary policy using various economic frameworks, including asset pricing, market structure and liquidity, financial intermediation, and macro-finance. His research also extends to financial econometrics, China's financial markets and monetary policy, and FinTech. He has published 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, Real Estate Economics, and China Economic Review. His work has been recognized with important research awards, including 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 is also actively engaged in policy matters related to financial markets and the investment practices of the asset management industry. He has served as an Academic Expert for the US Commodity Futures Trading Commission (CFTC), consulted with the Dimensional Fund Advisors (DFA) on fixed-income investment, been a visiting scholar at the Federal Reserve Bank of Philadelphia, and served as a scholar of the Thematic Research Programme at the Hong Kong Institute for Monetary and Financial Research. He has  published articles in practitioner and policy outlets such as the Journal of Investment Management and Liberty Street Economics of the Federal Reserve Bank of New York. His research has been featured in Bloomberg, Fortune, Mortgage News Daily, and in reports by the U.S. Securities and Exchange Commission (SEC) and the 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 (2022 — ) 

  • Associate Professor (2018 — 2022) 

  • Assistant  Professor (2015 — 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 Interests:

• Fixed-Income Markets, Financial Intermediaries, and Monetary Policy

Peer-Reviewed Journal Publications:

1.  “TBA Trading and Security Issuance in the Agency MBS Market”, (with Yu An, Wei Li) 

• Real Estate Economics (2025)

2. “Agency MBS as Safe Assets”, (with Zhiguo He)

• Review of Financial Studies (2024), forthcoming

• Practitioner Coverage: Inside Mortgage Finance

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

• China Economic Review (2023)

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

• Review of Financial Studies (2023)

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

• Journal of Finance (2022)

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

• Review of Financial Studies (2022)

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

• Journal of Financial Economics (2022)

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

8. “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 (2022)

   • The most cited articles published since 2020 

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

• Journal of Monetary Economics (2019)

• Practitioner Coverage: Refinitiv White Papers 

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

• Management Science (2019)         

• 2013 GARP Research Award

• 2014 TCFA Best Paper Award 

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

    • Review of Financial Studies (2019)

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

12. "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 (2019)

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

• Review of Financial Studies (2018)

• 2013 Q Group Research Award     

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

• Journal of Financial Economics (2018)

• Media/Practitioner Coverage: FORTUNE, BloombergView 

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

• Journal of Finance (2017)

• Media/Practitioner Coverage: PIMCO on Liquidity

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

• Journal of Financial Economics (2017)

• NASDAQ Best Paper Award in Market Microstructure

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

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

• Journal of Econometrics (2016)

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

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

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

• Journal of Econometrics (2013)

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

• Journal of Econometrics (2011)

Invited, Non-Peer-Reviewed, Policy, and Practitioner Publications:

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

• China Finance Review International (2024)

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

• Collaborated investment research as a consultant for the Dimensional Fund Advisors (2023)

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

• Journal of Finance and Data Science (2022)

• The Outstanding Paper in Fixed-Income Award for JFDS

4. "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  (2021)

5. "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  (2020)

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

• Journal of Investment Management (2018)

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. "Dealer Expertise and Market Concentration in OTC Trading”, with Wei Li, March, 2025 

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

3. “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. 

4. “Defragmenting the Agency MBS Market”, 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

5. “Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading”, with Wei Li, January 2025,

• 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. 

6. “Inflation, Default, and Corporate Bond Returns”, with Xiaomeng Lu, Yoshio Nozawa, September 2024

• The first set of key facts about the systematic inflation exposure of corporate bond returns: (1) Inflation betas of standard bond excess returns (relative to T-bill rates) are, on average, negative, while in striking contrast, inflation betas of credit excess returns (relative to duration-matched Treasury returns) are uniformly positive, with higher-default-risk bonds exhibiting more pronounced positive inflation betas; (2) Inflation beta positively influences bond returns in the cross-section, with this effect driven entirely by credit excess returns; (3) Firms with higher bond inflation betas also tend to have higher stock inflation betas.  

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