Signal in the noise: Trump tweets and the currency market

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-05-03 DOI:10.1016/j.jimonfin.2025.103343

Ilias Filippou , Arie E. Gozluklu , My T. Nguyen , Ganesh Viswanath-Natraj

引用次数: 0

Abstract

In this paper, we conduct a textual analysis of Trump tweets. Our method extracts the signal from the noise, by identifying the subset of tweets that contain information on macroeconomic policy or trade content. Informative tweets result in a USD appreciation and a decline in intraday volatility, reflecting Trump’s optimistic views on the U.S. economy. These effects are robust to controlling for macroeconomic announcements. We rationalize our findings within a model of Bayesian traders that interpret Trump tweets as a public signal in the FX market. Currency returns are driven by a bias between the public signal and speculators’ expectations.

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噪音中的信号：特朗普的推文和外汇市场

在本文中，我们对特朗普的推文进行了文本分析。我们的方法通过识别包含宏观经济政策或贸易内容信息的推文子集，从噪声中提取信号。信息丰富的推文导致美元升值，日内波动率下降，反映了特朗普对美国经济的乐观看法。这些效应对于控制宏观经济公告是稳健的。我们在贝叶斯交易者模型中合理化了我们的发现，该模型将特朗普的推文解释为外汇市场的公开信号。货币回报是由公众信号和投机者预期之间的偏差所驱动的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.