Donald Trump is tweeting more and it’s affecting the bond market.
In fact, the president’s market-moving tweets ballooned in August as he hammered China on trade and went after the Federal Reserve on interest rates.
In an attempt to quantify the impact of Trump’s tweets on the bond market, J.P. Morgan devised a “Volfefe Index” to analyze how the president’s tweets are influencing volatility in U.S. interest rates.
J.P. Morgan found that the index, named after Trump’s infamous and still mysterious “covfefe” tweet, explains a measurable fraction of the moves in implied rate volatility for 2-year and 5-year Treasurys.