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.
Original language | English |
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Pages (from-to) | 253-277 |
Number of pages | 25 |
Journal | Journal of Economic Behavior and Organization |
Volume | 184 |
DOIs | |
Publication status | Published - Apr 2021 |
MoE publication type | A1 Journal article-refereed |
Keywords
- ARMAX-GARCH
- Donald Trump
- elastic net
- Exchange rate
- Markov regime-switching model
- Russian ruble
- sentiment analysis
- social media