JPMorgan has created a “Volfefe index” to analyze how President Donald Trump’s tweets are influencing volatility in U.S. interest rates, CNBC reported on Sunday.
Named after the president’s mysterious “covfefe” tweet, the index explains a measurable fraction of the moves in implied rate volatility for 2-year and 5-year Treasurys.
Specifically, 146 out of some 4,000 non-retweets the president made during market hours from 2018 to the present were shown to make an impact.
“This makes rough sense as much of the president’s tweets have been focused on the Federal Reserve, and as trade tensions are broadly seen as, first and foremost, impactful on near-term economic performance and, likewise, the Fed’s reaction to such developments,” according to those who devised the index at J.P. Morgan.
The tweets most likely to have an impact on the market contain keywords such as “China,” “billion” and “products.”
Bank of America Merrill Lynch said last week in a report that days when Trump tweets frequently are associated with negative stock market results, MarketWatch reported.
The JP Morgan index revealed that most of the president’s market-impacting tweets come between noon and 2 p.m., with a 1 p.m. tweet approximately three times as likely to arrive at any other hour of the afternoon or evening, according to CNBC reported.
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