JPMorgan's New 'Volfefe Index' For Trump Tweets: What You Should Know
JPMorgan Chase & Co. (NYSE: JPM) says it has created an automated program to track the effect of tweets by President Donald Trump on the markets — and their contribution to volatility in bond markets.
The tracking program results in the “Volfefe Index,” a combination of volatility and “covfefe,” a non-existent word Trump once used on Twitter. The index tracks more than 12,000 of Trump's tweets since he took office.
Why It's Important
"We find strong evidence that tweets have increasingly moved U.S. rates markets immediately after publication," JPMorgan said in a note late last week.
The tweets are particularly likely to affect bond rate volatility.
“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, [as] impactful on near-term economic performance,” the report said.
The bank also found Trump has increasingly tweeted about trade and monetary issues, which are more likely to affect the markets.
"A broad swath of assets from single-name stocks to macro products have found their price dynamics increasingly beholden to a handful of tweets from the commander-in-chief,” according to JPMorgan.
While JPMorgan didn’t cite any specific tweets that pushed markets, it said certain words have been particularly likely to trigger movement. Among them: “China” and “products.”
Of about 4,000 original Trump tweets, not counting retweets, that were sent during market hours last year and this year, 146 moved the market, according to the model.
The stock market has done well overall since Trump was elected. The Dow is up more than 30% since his inauguration.
President Donald Trump arrives at Joint Base Andrews Air Force Base on Monday. White House photo by Shealah Craighead.
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