Donald Trump's tweets, political value judgment, and the Renminbi exchange rate

Qisi Zhang, Michael Frömmel and Edwin Baidoo

International Review of Financial Analysis, 2024, vol. 93, issue C

Abstract: This study examines the correlation between former U.S. President Donald Trump's China-related tweets and the daily return and conditional volatility of onshore (CNY) and offshore (CNH) Renminbi exchange rates. Using sentiment analysis techniques to quantify political value judgment, we find that Trump's sentiment towards China has a significantly negative relationship with the CNH value but no significant linkage with the CNY price. During the trade tension period, both markets' conditional volatility responded to the tweets, with the CNH daily return displaying a heightened reaction to the sentiment. Our results demonstrate the importance of considering market conditions when analyzing the effects of political rhetoric on different segments of the Renminbi exchange rate market.

Keywords: Political value judgment; Trump tweets; Trade tension; COVID-19; CNY; CNH; RMB; Central parity rate (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000917

DOI: 10.1016/j.irfa.2024.103159

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