Bloomberg News observed Volfefe was created due to the statistical significance of Trump tweets on bond prices. ABC News Online posited Volfefe could help analyze interest rate risk in the face of "unpredictable" activity on social media by Trump.
In forming the basis of the methodology behind Volfefe, JPMorgan Chase used software to analyse the corpus of Trump's tweets. 14,000 tweets were used in the analysis to form the initial projections for their software. Their analysts determined that there were direct correlations between tweets and subsequent market movements. These market movements were most notably evidenced when the tweet specifically references financial matters including the US Federal Reserve. The tweets issued during the working day of the New York Stock Exchange were more likely to cause a change in market sentiment, however, it was noted that the tweets can come at any time of day and thus have an effect on markets around the world. Key words in tweets include "China", "billion", "products", "Democrats", "great", "dollars", "tariffs" and "trade".
Bloomberg News noted, "JPMorgan’s 'Volfefe Index,' named after Trump’s mysterious covfefe tweet from May 2017, suggests that the president’s electronic musings are having a statistically significant impact on Treasury yields."
- Black swan theory
- Economic Policy Uncertainty Index
- Greed and fear
- Hemline index
- Market trend
- Probability of default
- S&P/ASX 200 VIX
- Twitter diplomacy
- Use of Twitter by public figures
- Alloway, Tracy (September 9, 2019), "JPMorgan Creates 'Volfefe' Index to Track Trump Tweet Impact", Bloomberg News, retrieved September 10, 2019
- Chau, David (September 10, 2019), "Donald Trump's impact on market volatility tracked by new JP Morgan 'Volfefe' index", ABC News Online, retrieved September 10, 2019
- Ahmed, Saqib Iqbal (September 9, 2019), "'Volfefe': a volatility index for the Trump era", Reuters, retrieved September 10, 2019
- Gibson, Kate (September 9, 2019), "'Volfefe index' tracks market impact of Trump's tweets", CBS News, retrieved September 10, 2019
- Horowitz, Julia (September 9, 2019), "JPMorgan has created a 'Volfefe Index' to track how Trump's tweets move markets", CNN, retrieved September 9, 2019
- Khan, Yusuf (September 9, 2019), "A JPMorgan bot analyzed 14,000 Trump tweets and found they're having an increasingly sharp impact on markets", Business Insider, retrieved September 10, 2019
- Kollmeyer, Barbara (September 9, 2019), "J.P. Morgan made a 'Volfefe' index to track how Trump tweets move the bond market — here's what it shows", MarketWatch, retrieved September 10, 2019
- Ashworth, Louis (September 10, 2019), "The Volfefe Index aims to track just how Donald Trump's tweets move markets", The Daily Telegraph, retrieved September 10, 2019
- Newburger, Emma (September 8, 2019), "JP Morgan has created an index to track the effect of Trump's tweets on financial markets: 'Volfefe index'", CNBC, retrieved September 10, 2019
- "How much do Trump tweets swing the market? Check 'Volfefe'", Yahoo! Finance, Associated Press, September 9, 2019, retrieved September 10, 2019
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