JPMorgan Creates 'Volfefe Index' to Track Trump's Market-Moving Tweets

Daniel Fowler
September 10, 2019

JPMorgan's analysis also found Trump's most significant market-moving tweets are usually posted between noon and 2:00 pm - "a time fortuitously coterminous with some of the best intraday liquidity in us rates".

US President Donald Trump is not just tweeting haphazardly for your entertainment, his tweets are increasingly moving US markets and impacting interest rates, a JPMorgan report has revealed.

Trump has tweeted over 10,000 times since taking charge in 2016.

"Trade and monetary policy have become an increasing focus for the executive branch, and everything from casual sentiments to seemingly formal policy intentions have been disseminated, globally and instantaneously, via this carefully scrutinized social media platform", JPMorgan analysts found.

Dubbed the "Volfefe Index" in a nod to Trump's freakish "covfefe" tweet, the index examines how the President's tweets influence volatility in the bond markets.

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About 10% of the president's tweets since his November 2016 election pertain to subjects of importance to United States markets, according to Citigroup quantitative foreign-exchange strategist Sukrita Chatterji. The quantity of market-moving Trump tweets has expanded in the previous month, with those including words, for example, "China", "billion", "items", "democrats", and "incredible", well on the way to influence costs, the experts found.

JP Morgan said the index, whose name is reminiscent of Trump's "covfefe" tweet, shows Trump's tweets explain a "measureable fraction" of volatility, particularly in the market for shorter-term rates. "We can use this dataset to performed a supervised machine learning exercise - specifically we can train a classifier to infer how likely each tweet is to move markets", the JPMorgan report said in a note dated September 6.

Trump has made direct references to the Federal Reserve 20 times over the past month and that does not include his 23 August tweet questioning whether Chairman Jerome Powell was a bigger enemy than Chinese President Xi Jinping. And his every tweet about Federal Reserve, China and trade tensions, is seen as "impactful on near-term economic performance" wrote the authors of the J.P. Morgan report. The number of his posts that affect the markets in recent months has increased significantly.

Of 4,000 individual non-retweets from the president's account, only around 146 actually moved the market. The S&P 500 also stays properly over in which it was in advance of Trump's 2016 election, up nearly 40 per cent. Days with fewer presidential tweets improve the yields of government bonds on average five basis points.

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