Donald Trump is tweeting more and it's affecting the bond market.
In fact, the president's market-moving tweets ballooned in August as he hammered China on trade and went after the Federal Reserve on interest rates.
In an attempt to quantify the impact of Trump's tweets on the bond market, J.P. Morgan devised a "Volfefe Index" to analyze how the president's tweets are influencing volatility in U.S. interest rates.
J.P. Morgan found that the index, named after Trump's infamous and still mysterious "covfefe" tweet, explains a measurable fraction of the moves in implied rate volatility for 2-year and 5-year Treasurys.
"This makes rough sense as much of the president's tweets have been focused on the Federal Reserve, and as trade tensions are broadly seen as, first and foremost, impactful on near-term economic performance and, likewise, the Fed's reaction to such developments," wrote the authors of the J.P. Morgan report.
Trump's market-moving messages most often address trade and monetary policy, with key words including "China," "billion" and "products." These tweets are increasingly less likely to receive favorable responses, such as likes or retweets, from the president's followers.
Since his election in 2016, Trump has averaged more than 10 tweets a day to his nearly 64 million followers —roughly 14,000 total over that period associated with his personal account, of which more than 10,000 occurred after the 2017 inauguration.
Out of about 4,000 non-retweets occurring during market hours from 2018 to the present, only 146 moved the market.
Most of Trump's tweets come around noon to 2:00 pm, with a 1:00 pm tweet roughly three times as likely to arrive at any other hour of the afternoon or evening, according to J.P. Morgan's report.
Trump's 3:00 am tweets are also more common than 3:00 pm tweets, which can be a nuisance for U.S. rates markets, since overnight market depth tends to be thin.Trump is presumably asleep from 5:00 am to 10:00 am, according to the report, since there's a lull in tweeting activity during that time.
Days when Trump tweets a lot are also associated with negative stock market returns, according to Bank of America Merrill Lynch.
While Trump's twitter activity can disrupt markets with sudden attacks on China trade or the Federal Reserve, he has still been good for the stock market overall. The Dow is up 42% since the 2016 presidential election and 31% since his inauguration.
"Trade talk, political campaigning and tweets have contributed to volatility, from China to Fed policy to tax policy," wrote the brokerage's chief equity strategist Savita Subramanian.
"And new tariffs announced in August indicate downside risk to our 2019/20 EPS growth forecasts of +2%/+7%, where indirect impacts from hits to corporate or consumer confidence could be significant."