The Information Content of Trump Tweets and the Currency Market

91 Pages Posted: 4 Jan 2021 Last revised: 8 Oct 2021

See all articles by Ilias Filippou

Ilias Filippou

Washington University in St. Louis - John M. Olin Business School

Arie Eskenazi Gozluklu

University of Warwick

My T. Nguyen

University of Warwick - Warwick Business School

Ganesh Viswanath-Natraj

Warwick Business School

Date Written: December 24, 2020

Abstract

Using textual analysis, we identify the set of Trump tweets that contain information on macroeconomic policy, trade, or exchange rate content. We find that informative Trump tweets reduce speculative trading in foreign exchange markets, with a corresponding decline in trading volume, volatility, bid-ask spreads, and induce a positive bias in returns reflecting Trump’s (optimistic) views on the U.S. economy. Two-thirds of his informative tweets are optimistic. This bias serves as a diversion strategy from negative media coverage. We rationalize these results within a model of Trump tweets revealing economic content as a public signal that reduces disagreement among speculators.

Keywords: Foreign Exchange market, Textual Analysis, Trump Tweets

JEL Classification: G11, G12, G14, G32

Suggested Citation

Filippou, Ilias and Gozluklu, Arie Eskenazi and T. Nguyen, My and Viswanath-Natraj, Ganesh, The Information Content of Trump Tweets and the Currency Market (December 24, 2020). Available at SSRN: https://ssrn.com/abstract=3754991 or http://dx.doi.org/10.2139/ssrn.3754991

Ilias Filippou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States

Arie Eskenazi Gozluklu

University of Warwick ( email )

Gibbet Hill Rd
Coventry, CV4 7AL
Great Britain

HOME PAGE: http://www.arieskenazi.com

My T. Nguyen

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom

Ganesh Viswanath-Natraj

Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom
CV4 7AL (Fax)

HOME PAGE: http://https://ganeshvnatraj.netlify.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
147
Abstract Views
839
rank
251,543
PlumX Metrics