JPMorgan Launches 'Volfefe Index' to Track how Donald Trump's Tweets Impact Markets

JPMorgan Chase has created a special index to track how President Donald Trump's tweets impact interest rates and other economic indicators.

The "Volfefe Index," as its known, is a portmanteau of "volatility" and "covfefe," a term President Trump used in a 2017 tweet that soon became a viral sensation.

A late-night tweet from the personal Twitter account of U.S. President Donald Trump on May 31. The tweet reads, "Despite the constant negative press covfefe." Donald Trump/Twitter/Handout via REUTERS.

The firm's analysts found that Trump's Twitter activity has grown of late, as has its impact: Since taking office, the president has averaged more than 10 tweets a day, totally approximately 14,000 tweets since taking in January 2017.

"The subject of these tweets has increasingly turned toward market-moving topics, most prominently trade and monetary policy," JPMorgan Chase said in a statement. "And we find strong evidence that tweets have increasingly moved U.S. rates markets immediately after publication."

JPMorgan noted that Trump's "market-moving" tweets used similar keywords—China, billions, dollar, tariffs and trade—though they were less likely to be retweeted or liked.

"We can move toward a rough estimate of how much these market-moving tweets have pushed up volatility pricing in the swaptions market," JPMorgan said. "This index can explain a measurable fraction of moves in implieds, particularly in shorter tails (2-year rates, and 5-year rates, as opposed to 10-year rates)."


While the index's "utility in scoring any given tweet is somewhat limited," the bank said, it added that it works "as a supervised machine learning exercise — specifically we can train a classifier to infer how likely each tweet is to move markets."

The president has been accused of personally trying to influence the markets, and JPMorgan notes that "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."

Trump quickly deleted his "covfefe" post but it gathered steam as an Internet meme. The White House even printed out a giant screenshot of the tweet for its social media summit in July.

That same month, the Federal Reserve lowered its benchmark interest rate for the first time in over a decade, with Chairman Jerome Powell citing uncertainty created by President Donald Trump's trade policies as a key factor.

"Through the course of the year, weak global growth, trade policy uncertainty and muted inflation have prompted the [Federal Open Market Committee] to adjust its assessment of the appropriate path of interest rates. The committee moved from expecting rate increases this year, to a patient stance about any changes, and then to today's action," Powell said at a press conference in July.

Major U.S. banks, including JPMorgan. signaled to investors that falling interest rates will likely torpedo profit forecasts.

"The guidance is going to be downward, especially when it comes to the interest rate environment," analyst Jeff Harte told Financial Times.