Strength of words: Donald Trump's tweets, sanctions and Russia's ruble
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Journal Title
Journal ISSN
Volume Title
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
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Date
2021-04
Department
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Language
en
Pages
25
253-277
253-277
Series
Journal of Economic Behavior and Organization, Volume 184
Abstract
We empirically test if the US President Donald Trump's rhetoric towards Russia (represented by his Russia-related tweets) affects ruble's exchange rate. Using three-stepped empirical framework, we find that escalation of negative sentiment of Trump's Russia-related tweets leads to ruble's depreciation (4–10%) in short-term periods (around 3 days). Though these episodes tend to coincide with imposition or announcement of US sanctions, we demonstrate that US sanctions that were not accompanied by negative tweets of Donald Trump, have not caused ruble's depreciation. This highlights the role of emotional factors in economic decision-making behavior.Description
Keywords
ARMAX-GARCH, Donald Trump, elastic net, Exchange rate, Markov regime-switching model, Russian ruble, sentiment analysis, social media, Twitter
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Citation
Afanasyev, D O, Fedorova, E & Ledyaeva, S 2021, ' Strength of words : Donald Trump's tweets, sanctions and Russia's ruble ', Journal of Economic Behavior and Organization, vol. 184, pp. 253-277 . https://doi.org/10.1016/j.jebo.2021.02.002
