The Information Content of Trump Tweets and the Currency Market
91 Pages Posted: 4 Jan 2021 Last revised: 8 Oct 2021
Date Written: December 24, 2020
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: Suggested Citation