Wall Street measure is not just a joke, as traders eye impact of tweets on markets for bonds, currencies and equities.

Traders know that when United States President Donald Trump tweets, he can move financial markets – often in unpredictable ways.

But analysts at JP Morgan have now quantified the impact of his tweets on the US interest rates market.

JP Morgan’s newly built “Volfefe” index – a nod to “covfefe”, the mysterious word coined by Trump in an unfinished 2017 tweet – analyses a rolling sample of recent tweets to judge how much of an effect the president’s remarks have had on volatility.

Trump’s tweets, which have in recent months often focused on market-sensitive topics such as trade and monetary policy, have increasingly moved US rates markets, analyst Munier Salem said in a note on Friday.

In the report, JP Morgan analysts use machine-learning techniques and their own volatility model to show how the president’s 280-character missives serve to raise investors’ expectations for future shifts in the bond market.

While the direction of price moves and their lasting power may be uncertain, Trump’s tweets often spark a sharp reaction from a variety of markets.

Trump has disseminated finance-related comments “from casual sentiments to seemingly formal policy intentions … globally and instantaneously, via this carefully scrutinized social media platform”, the analysts wrote.

“In response, a broad swath of assets from single-name stocks to macro products have found their price dynamics increasingly beholden to a handful of tweets from the commander-in-chief.”

China, tariffs and trade

The Volfefe index can explain some of the movement in market forecasts of where rates are headed, particularly the shorter duration two-year and five-year rates, the analysts said.

Trump’s most market-moving tweets dwell on trade, and, to a lesser extent, monetary policy – with the words “China”, “billion”, “products”, “dollars”, “tariffs” and “trade” making the top list, the JP Morgan analysts found.

To be sure, while market-moving tweets may be on the rise, in recent months, these types of tweets have apparently garnered fewer likes and retweets than other Trump tweets, the analysts found.

They also noted that while their current analysis was limited to US interest rates, such an exercise was easily transferable to currency and equity markets.

Separately, analysts at Citigroup found that a wide range of currency pairs logged higher-than-expected volatility within a one-hour window after a Trump tweet.

The US dollar – whose relative strength against major currencies has drawn much of the president’s ire – has often weakened against the euro and the Japanese yen in reaction to the president’s tweets about the greenback, Citigroup analysts said in a Friday note describing the president’s “jawboning”.

And Bank of America recently wrote to clients in a note that the stock market generally drops a bit on days when Trump tweets more.

Since 2016, on days with more than 35 Trump tweets, the US market has fallen slightly. On days with fewer than five presidential tweets, the market has risen.

The JP Morgan report showed that Trump – or aides – have tweeted over 10,000 times from his account since his inauguration, with an uptick in the last year, becoming even more intense during the last few months.

Many of the most impactful tweets come out in the middle of the US trading day, whereas the president has tended to remain quiet from 5:00am to 10:00am – presumably while asleep.

With plenty of the recent Trump tweets veering more into actions or diktats rather than mere opinions, analysts could continue to generate metrics that trace market gyrations back to the Oval Office.