Did Donald Trump's tweets on Sino-US Trade affect the offshore RMB exchange rate?

This study examines how Donald Trump's tweets regarding Sino-U.S. trade affect the offshore RMB exchange rate through the volatility channel and the fundamental factors channel. The tweets are categorized into "positive" and "nonpositive", and GARCH(1,1)-in-mean model and OLS model with heteroscedasticity-and autocorrelation-consistent (HAC) standard errors are employed. Results indicate that nonpositive tweets impacted the volatility of offshore RMB ex-change rates, but had no effect through the volatility channel. Positive and nonpositive tweets both significantly affected the offshore RMB exchange rate through the fundamental factors channel.