Strength of words: Donald Trump's tweets, sanctions and Russia's ruble

Dmitriy O. Afanasyev; Elena Fedorova; Svetlana Ledyaeva

doi:10.1016/j.jebo.2021.02.002

Strength of words: Donald Trump's tweets, sanctions and Russia's ruble

Dmitriy O. Afanasyev, Elena Fedorova, Svetlana Ledyaeva^*

^*Corresponding author for this work

Department of Economics

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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
Pages (from-to)	253-277
Number of pages	25
Journal	Journal of Economic Behavior and Organization
Volume	184
DOIs	https://doi.org/10.1016/j.jebo.2021.02.002
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
Twitter

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10.1016/j.jebo.2021.02.002

1-s2.0-S0167268121000573-mainFinal published version, 2.76 MBLicence: CC BY-NC-ND

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title = "Strength of words: Donald Trump's tweets, sanctions and Russia's ruble",

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.",

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AB - 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.

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KW - elastic net

KW - Exchange rate

KW - Markov regime-switching model

KW - Russian ruble

KW - sentiment analysis

KW - social media

KW - Twitter

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JO - Journal of Economic Behavior and Organization

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Strength of words: Donald Trump's tweets, sanctions and Russia's ruble

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Keywords

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