We introduce external risks, in the form of shocks to the level and volatility of world interest rates, into a small … interest rates and a persistent rise in their volatility. We solve for the optimal policy and argue that the size of a tax on …. We show quantitatively that these taxes respond to both the level and volatility of interest rates even though optimal …

fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by …

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatility and jump dynamics … volatility modelling is justified in our specific calibration samples (2008 and 2013, respectively). However, our results reject …