Measuring the Impact of President Donald Trump’s Tweets on the Mexican Peso/U.S. Dollar Exchange Rate

Abstract

This study explores whether the comments made by the recently-elected American Pre- sident Donald Trump on the social network Twitter have an impact on the daily Mexican peso/U.S. dollar currency exchange rate. We collect data from the social network Twit- ter and the Chicago Mercantile Exchange & Chicago Board of Trade. We study whether certain types of comments made by Donald Trump about Mexico and American foreign policy posted over the period starting in June 16, 2015, (when he announced his can- didature in the 2016 Republican Party presidential primaries) until February 21, 2017 (a month after he was sworn in as president of the United States), affected the daily value of the Mexican peso in terms of U.S. dollars. We analyze 7429 tweets and rank 64 of them as “negative” based on the tone and content of the message delivered. The results of this paper suggest that the tweets classified as negative had an impact on the daily volatility of the Mexican peso/U.S. dollar exchange rate, possibly leading to market ineffi and arbitrage opportunities.