The communication reaction function of the European Central Bank. An analysis using topic modelling

Figures & data

Figure 1. Coherence scores of LDA models with different numbers of topics. Data source: ECB.

Table 1. Coherence and perplexity scores for different numbers of topics.

Number of Topic	4	5	14	50	4	5	14	50
Chunk size	100	100	100	100	500	500	500	500
Perplexity	−7.28	−7.27	−7.68	−9.01	−7.24	−7.22	−7.31	−7.79
Coherence score	0.42	0.39	0.43	0.45	0.40	0.39	0.44	0.37

Notes: The Chunk size is the number of documents trained by the model.

Figure 2. Intertopic distance map – number of topics is 14. Data source: ECB.

Figure 3. Intertopic distance map – number of topics is 50. Data source: ECB.

Table 2. LDA with TF-IDF and Bigrams – scores.

Model	No TF-IDF	No TF-IDF	TF-IDF	TF-IDF	No TF-IDF	No TF-IDF	TF-IDF	TF-IDF
Topics	4	5	4	5	4	5	4	5
Grams	Unigr.	Unigr.	Unigr.	Unigr.	Bigr.	Bigr.	Bigr.	Bigr.
Perplexity	−7.03	−7.00	−7.88	−7.92	−6.11	−7.26	−6.09	−7.38
Coherence	0.48	0.51	0.49	0.28	0.58	0.55	0.56	0.55

Notes: Unigr. is for Unigrams and Bigr. is for Bigrams.

Figure 4. Topic – Financial Stability and the Banking System (FSBS), Q4 2000–Q4 2019. Data source: ECB – normalized data.

Table 3. CJ model – topic financial stability and the banking system.

	Mod 1	Mod 2	Mod 3	Mod 4
$\mathrm{ECB\_F\_IN}{F}_t$	0.12	0.02	0.13	0.02
	(0.11)	(0.11)	(0.11)	(0.11)
$\mathrm{ECB\_F\_GD}{P}_t$	−0.49***	−0.34***	−0.50***	−0.35***
	(0.11)	(0.11)	(0.11)	(0.12)
$M{3}_{t-2}$	0.15		0.17
	(0.10)		(0.11)
$\mathrm{FE}{D}_{t-1}$	−0.38***	−0.62***	−0.36**	−0.62***
	(0.14)	(0.15)	(0.16)	(0.17)
$\mathrm{CREDI}{T}_{t-2}$		0.44***		0.44***
		(0.12)		(0.12)
$\mathrm{OI}{L}_t$			−0.05	0.00
			(0.16)	(0.14)
Intercept	−0.03	−0.04	−0.01	−0.04
	(0.09)	(0.08)	(0.11)	(0.10)
$R^2$	0.44	0.51	0.44	0.51
N	77	77	77	77

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Table 4. HS model – topic financial stability and the banking system.

	Mod 1	Mod 2	Mod 3	Mod 4	Mod5	Mod6
$\mathrm{ECB\_F\_IN}{F}_t$	−0.01	0.35**	0.00	0.12	0.18	−0.04
	(0.10)	(0.16)	(0.17)	(0.17)	(0.17)	(0.20)
$\mathrm{ECB\_F\_GD}{P}_t$	−0.62***	−0.39**	−0.62***	−0.93***	−0.75***	−0.87***
	(0.10)	(0.19)	(0.10)	(0.17)	(0.19)	(0.17)
$\mathrm{SPF\_F\_IN}{F}_t$		−0.39***
		(0.19)
$\mathrm{SPF\_F\_GD}{P}_t$		−0.34
		(0.21)
$\mathrm{DEV\_IN}{F}_t$			−0.25	−0.36	−0.24	−0.49
			(0.53)	(0.52)	(0.52)	(0.52)
$\mathrm{ECB\_F\_INF\_}\times \mathrm{DEV\_IN}{F}_t$			0.13	0.14	0.16	0.32
			(0.39)	(0.38)	(0.38)	(0.40)
$\mathrm{DEV\_GD}{P}_t$				0.88***	0.53	0.97***
				(0.28)	(0.34)	(0.29)
$\mathrm{ECB\_F\_GDP}\times \mathrm{DEV\_GD}{P}_t$				0.24	0.3	0.2
				(0.21)	(0.21)	(0.21)
CRISIS					0.61*
					(0.33)
ZLB						−0.39
						(0.26)
Intercept	−0.00	−0.03	0.01	−0.72***	−0.84***	−0.67**
	(0.09)	(0.09)	(0.13)	(0.27)	(0.27)	(0.26)
$R^2$	0.38	0.46	0.39	0.44	0.47	0.46
N	77	77	77	76	76	76

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Figure 5. Topic – Non-standard Monetary Policy (NMP), Q4 2000–Q4 2019. Data source: ECB – normalized data.

Table 5. CJ model – topic non-standard monetary policy.

	Mod 1	Mod 2	Mod 3	Mod 4
$\mathrm{ECB\_F\_IN}{F}_t$	−0.44***	−0.40***	−0.45***	−0.40***
	(0.14)	(0.14)	(0.14)	(0.14)
$\mathrm{ECB\_F\_GD}{P}_t$	0.18	0.09	0.27**	0.19
	(0.13)	(0.14)	(0.13)	(0.14)
$M{3}_{t-2}$	0.06		−0.06
	(0.12)		(0.13)
$\mathrm{FE}{D}_{t-1}$	0.02	0.19	−0.15	−0.01
	(0.17)	(0.20)	(0.18)	(0.21)
$\mathrm{CREDI}{T}_{t-2}$		−0.19		−0.22
		(0.16)		(0.15)
$\mathrm{OI}{L}_t$			0.44**	0.42**
			(0.19)	(0.17)
Intercept	0.01	0.02	−0.15	−0.13
	(0.11)	(0.11)	(0.13)	(0.12)
$R^2$	0.15	0.17	0.21	0.24
N	77	77	77	77

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Table 6. HS model – topic non-standard monetary policy.

	Mod 1	Mod 2	Mod 3	Mod 4	Mod5	Mod6
$\mathrm{ECB\_F\_IN}{F}_t$	−0.42***	0.05	−0.69***	−0.66***	−0.58***	−0.17
	(0.12)	(0.18)	(0.19)	(0.20)	(0.20)	(0.21)
$\mathrm{ECB\_F\_GD}{P}_t$	0.18	0.12	0.22*	−0.06	0.2	−0.24
	(0.12)	(0.22)	(0.12)	(0.20)	(0.22)	(0.18)
$\mathrm{SPF\_F\_IN}{F}_t$		−0.55***
		(0.16)
$\mathrm{SPF\_F\_GD}{P}_t$		0.01
		(0.24)
$\mathrm{DEV\_IN}{F}_t$			−0.5	−0.63	−0.46	−0.23
			(0.61)	(0.61)	(0.60)	(0.56)
$\mathrm{ECB\_F\_INF}\times \mathrm{DEV\_IN}{F}_t$			0.80*	0.91**	0.94**	0.37
			(0.44)	(0.45)	(0.44)	(0.43)
$\mathrm{DEV\_GD}{P}_t$				0.47	−0.04	0.2
				(0.34)	(0.39)	(0.31)
$\mathrm{ECB\_F\_GDP}\times \mathrm{DEV\_GD}{P}_t$				0.43*	0.51**	0.56**
				(0.25)	(0.25)	(0.23)
CRISIS					0.88**
					(0.39)
ZLB						1.17***
						(0.28)
Intercept	0.01	0.03	−0.13	−0.58*	−0.75**	−0.71**
	(0.11)	(0.10)	(0.14)	(0.31)	(0.31)	(0.28)
$R^2$	0.15	0.27	0.2	0.24	0.29	0.39
N	77	77	77	76	76	76

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Figure 6. Topic – Canonical Monetary Policy (CMP), Q4 2000–Q4 2019. Data source: ECB – normalized data.

Table 7. CJ model – topic canonical monetary policy.

	Mod 1	Mod 2	Mod 3	Mod 4
$\mathrm{ECB\_F\_IN}{F}_t$	0.05	−0.02	0.05	−0.02
	(0.10)	(0.10)	(0.12)	(0.12)
$\mathrm{ECB\_F\_GD}{P}_t$	0.27**	0.32**	0.24*	0.33**
	(0.12)	(0.13)	(0.12)	(0.14)
$M{3}_{t-2}$	0.26**		0.29**
	(0.11)		(0.12)
$\mathrm{FE}{D}_{t-1}$	0.19	0.13	0.23	0.11
	(0.16)	(0.18)	(0.17)	(0.20)
$\mathrm{CREDI}{T}_{t-2}$		0.29**		0.28*
		(0.14)		(0.14)
$\mathrm{OI}{L}_t$			-0.11	0.03
			(0.17)	(0.16)
Intercept	0.03	0.03	0.07	0.02
	(0.10)	(0.10)	(0.12)	(0.12)
$R^2$	0.31	0.29	0.31	0.29
N	77	77	77	77

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Table 8. HS model – topic canonical monetary policy.

	Mod 1	Mod 2	Mod 3	Mod 4	Mod 5	Mod 6
$\mathrm{ECB\_F\_IN}{F}_t$	0.21*	0.21	0.35*	0.2	0.05	−0.13
	(0.11)	(0.18)	(0.19)	(0.18)	(0.16)	(0.20)
$\mathrm{ECB\_F\_GD}{P}_t$	0.31***	0.67***	0.29**	0.18	−0.25	0.31*
	(0.11)	(0.22)	(0.11)	(0.17)	(0.18)	(0.17)
$\mathrm{SPF\_F\_IN}{F}_t$		0.06
		(0.17)
$\mathrm{SPF\_F\_GD}{P}_t$		−0.44*
		(0.24)
$\mathrm{DEV\_IN}{F}_t$			−0.05	0.00	−0.29	−0.27
			(0.60)	(0.54)	(0.47)	(0.52)
$\mathrm{ECB\_F\_INF}\times \mathrm{DEV\_IN}{F}_t$			−0.23	−0.24	−0.3	0.13
			(0.44)	(0.40)	(0.35)	(0.40)
$\mathrm{DEV\_GD}{P}_t$				−0.72**	0.13	−0.54*
				(0.30)	(0.31)	(0.29)
$\mathrm{ECB\_F\_GDP}\times \mathrm{DEV\_GD}{P}_t$				0.58**	0.45**	0.50**
				(0.22)	(0.21)	(0.21)
CRISIS					−1.48***
					(0.31)
ZLB						−0.79***
						(0.26)
Intercept	0.02	−0.03	0.11	0.56**	0.84**	0.65**
	(0.10)	(0.11)	(0.14)	(0.28)	(0.25)	(0.26)
$R^2$	0.19	0.23	0.2	0.35	0.52	0.43
N	77	77	77	76	76	76

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Figure 7. Topic – European Monetary Union and Growth (EMUG) (Q4 2000–Q4 2019). Data source: ECB – normalized data.

Table 9. CJ model – topic EMU and growth.

	Mod 1	Mod 2	Mod 3	Mod 4
$\mathrm{ECB\_F\_IN}{F}_t$	0.31**	0.31**	0.31**	0.31**
	(0.12)	(0.13)	(0.12)	(0.13)
$\mathrm{ECB\_F\_GD}{P}_t$	0.22*	0.2	0.24*	0.23*
	(0.12)	(0.13)	(0.12)	(0.13)
$M{3}_{t-2}$	0.05		0.03
	(0.11)		(0.12)
$\mathrm{FE}{D}_{t-1}$	0.15	0.18	0.11	0.13
	(0.16)	(0.18)	(0.17)	(0.19)
$\mathrm{CREDI}{T}_{t-2}$		−0.01		-0.02
		(0.14)		(0.14)
$\mathrm{OI}{L}_t$			0.1	0.12
			0.17	0.16
Intercept	0.02	0.03	−0.01	−0.02
	(0.10)	(0.10)	(0.12)	(0.11)
$R^2$	0.32	0.32	0.32	0.32
N	77	77	77	77

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Table 10. HS model – topic EMU and growth.

	Mod 1	Mod 2	Mod 3	Mod 4	Mod 5	Mod 6
$\mathrm{ECB\_F\_IN}{F}_t$	0.39 ***	0.31*	0.39**	0.28	0.16	−0.02
	(0.10)	(0.17)	(0.17)	(0.17)	(0.16)	(0.20)
$\mathrm{ECB\_F\_GD}{P}_t$	0.26* *	0.43**	0.25**	0.26	−0.07	0.37**
	(0.10)	(0.21)	(0.10)	(0.17)	(0.19)	(0.17)
$\mathrm{SPF\_F\_IN}{F}_t$		0.12
		(0.16)
$\mathrm{SPF\_F\_GD}{P}_t$		−0.19
		(0.23)
$\mathrm{DEV\_IN}{F}_t$			1.31**	1.28**	1.06**	1.04**
			(0.54)	(0.53)	(0.50)	(0.52)
$\mathrm{ECB\_F\_INF}\times \mathrm{DEV\_IN}{F}_t$			−0.82**	−0.72*	−0.76**	−0.39
			(0.40)	(0.39)	(0.39)	(0.40)
$\mathrm{DEV\_GD}{P}_t$				−0.51*	0.13	−0.35
				(0.29)	(0.33)	(0.29)
$\mathrm{ECB\_F\_GDP}\times \mathrm{DEV\_GD}{P}_t$				0.3	0.2	0.22
				(0.22)	(0.21)	(0.21)
CRISIS					−1.12***
					(0.32)
ZLB						−0.71***
						(0.26)
Intercept	0.01	−0.01	−0.03	0.31	0.53**	0.39
	(0.10)	(0.10)	(0.13)	(0.27)	(0.26)	(0.26)
$R^2$	0.3	0.32	0.36	0.41	0.5	0.47
N	77	77	77	76	76	76

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Figure 8. Topic – Financial Integration and Payment System (FIPS), Q4 2000–Q4 2019. Data source: ECB – normalized data.

Table 11. CJ model – topic financial integration and payment system.

	Mod 1	Mod 2	Mod 3	Mod 4
$\mathrm{ECB\_F\_IN}{F}_t$	0.24*	0.17	0.24*	0.17
	(0.12)	(0.12)	(0.12)	(0.12)
$\mathrm{ECB\_F\_GD}{P}_t$	−0.11	−0.05	−0.1	−0.00
	(0.11)	(0.12)	(0.12)	(0.13)
$M{3}_{t-2}$	0.20*		0.18
	(0.11)		(0.12)
$\mathrm{FE}{D}_{t-1}$	0.38**	0.28	0.34**	0.2
	(0.15)	(0.17)	(0.17)	(0.19)
$\mathrm{CREDI}{T}_{t-2}$		0.29**		0.28**
		(0.14)		(0.14)
$\mathrm{OI}{L}_t$			0.09	0.16
			(0.17)	(0.15)
Intercept	0.04	0.03	0.00	−0.03
	(0.09)	(0.09)	(0.11)	(0.11)
$R^2$	0.36	0.37	0.36	0.38
N	77	77	77	77

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.

Table 12. HS model – topic financial integration and payment system.

	Mod 1	Mod 2	Mod 3	Mod 4	Mod 5	Mod 6
$\mathrm{ECB\_F\_IN}{F}_t$	0.47***	0.3	0.32*	0.24	0.09	−0.18
	(0.11)	(0.18)	(0.19)	(0.19)	(0.17)	(0.21)
$\mathrm{ECB\_F\_GD}{P}_t$	−0.01	0.27	0.00	−0.19	−0.63**	−0.03
	(0.11)	(0.22)	(0.11)	(0.19)	(0.19)	(0.18)
$\mathrm{SPF\_F\_IN}{F}_t$		0.27
		(0.22)
$\mathrm{SPF\_F\_GD}{P}_t$		0.24
		(0.16)
$\mathrm{DEV\_IN}{F}_t$			0.82	0.72	0.44	0.38
			(0.59)	(0.58)	(0.52)	(0.54)
$\mathrm{ECB\_F\_INF}\times \mathrm{DEV\_IN}{F}_t$			−0.25	−0.11	−0.17	0.35
			(0.43)	(0.43)	(0.38)	(0.41)
$\mathrm{DEV\_GD}{P}_t$				−0.13	0.71**	0.1
				(0.32)	(0.33)	(0.30)
$\mathrm{ECB\_F\_GDP}\times \mathrm{DEV\_GD}{P}_t$				0.57**	0.44**	0.46**
				(0.24)	(0.21)	(0.22)
CRISIS					−1.47***
					(0.34)
ZLB						−1.00***
						(0.27)
Intercept	0.01	−0.03	−0.1	−0.11	0.18	0.00
	(0.10)	(0.11)	(0.14)	(0.30)	(0.27)	(0.27)
$R^2$	0.3	0.26	0.24	0.32	0.47	0.47
N	77	77	77	76	76	76

Notes: Standard errors are reported in parentheses * p<0.1, ** p<0.05, *** p<0.01.