JP Morgan Creates "Volfefe Index" to Measure Market impact of Trump Tweets

JPMorgan Launches 'Volfefe Index' to Track how Donald Trump's Tweets Impact Markets

Trump tweets increasingly moving markets: report

Trump has also has repeatedly created volatility in the financial market after attacking the Federal Reserve and its chairman, Jerome Powell, on Twitter.

To measure how much impact Mr Trump's unpredictable tweets have on U.S. interest rates, investment bank JP Morgan has created the "Volfefe index". Citigroup Inc.'s foreign exchange team, meanwhile, report that these micro-blogging missives are also becoming "increasingly relevant" to foreign-exchange moves.

Dubbed the "Volfefe Index," a tongue-in-cheek reference to Mr. Trump's since-deleted "covfefe" tweet from 2017, the gauge indicates that the president's tweets have a statistically significant effect on Treasury yields.

Trump's most market-moving tweets dwell on trade, and, to a lesser extent, monetary policy - with the words "China", "billion", "products", "dollars", "tariffs" and "trade" making the top list, the JP Morgan analysts found.

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Since his election in 2016, Trump tweets an average of about 10 times a day, about 14,000 times since then from his personal account, with 10,000 occurring after his 2017 inauguration. Interestingly, a recent report pointed out that during last month's Jackson Hole conference of US central bankers, economists and policymakers, when US Fed chief was speaking, most in the audience were looking at Trump's twitter feeds, to check if he had tweeted anything about the Fed chief or its policies. "And you will be extremely shocked at the numbers many, many times what you think", Trump said, speaking to reporters outside the White House as he left for a trip to North Carolina.

The president's tweets have included a direct Fed reference 20 times over the past month.

That is particularly apparent at the shorter end of the curve, with two and five-year rates affected more than 10-year securities. And there's little sign traders are growing numb to these messages.

However, most of Trump's tweets still fail to make an impact, with just 146 of around 4000 sent during market hours since 2018 moving the market.

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The ramifications of @realDonaldTrump's market takes aren't so definitive to be of use in the design of systemic strategies, Citi cautions. "In recent months, these tweets also tend to receive fewer likes and retweets than other contemporaneous remarks", said the report.

The president's Twitter activity displays some strong intra-day cyclicals.

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". Days with fewer tweets tend to see positive returns of 5 basis points on average as per the report.

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