Threats to Central Bank Independence: High-Frequency Identification with Twitter
Journal
Journal of Monetary Economics
Subject
Finance
Publishing details
Authors / Editors
Bianchi F;Gomez-Cram R;Kind T;Kung H
Biographies
Publication Year
2023
Abstract
A high-frequency approach is used to analyze the effects of President Trump’s tweets that criticize the Federal Reserve on financial markets. Identification exploits a short time window around the precise timestamp for each tweet. The average effect on the expected fed funds rate is negative and statistically significant, with the magnitude growing by horizon. The tweets also lead to an increase in stock prices and to a decrease in long-term U.S. Treasury yields. VAR evidence shows that the tweets had an important impact on actual monetary policy, the stock market, bond premia, and the macroeconomy.
Available on ECCH
No