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Giulia Martorana
Monetary Policy
- Division
Capital Markets/Financial Structure
- Current Position
-
Research Analyst
- Fields of interest
-
Macroeconomics and Monetary Economics,Financial Economics
- Education
- 2021-2026
PhD in Economics and Finance, Catholic University of Sacred Heart, Milan
- 2019-2021
MSc in Finance and Banking, Catholic University of Sacred Heart, Milan
- Professional experience
- 2023-
Research Analyst - Capital Markets/Financial Structure Division, Directorate General Monetary Policy, ECB
- Teaching experience
- 2026
International Economics, Economics, Catholic University of Sacred Heart, Milan
- 24 September 2026
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 6, 2026Details
- Abstract
- This box extends the Macro-Finance Financial Conditions Index (FCI) framework, originally developed for the euro area, to the United States. The analysis finds close linkages between US and euro area financial conditions, with risk assets playing a dominant role in the transmission of US shocks to euro area financial markets. In particular, changes in market expectations for the stance of US monetary policy affect euro area financial conditions through global risk-asset repricing, even when the ECB’s own policy stance remains unchanged. The findings highlight the importance of spillovers from the United States in shaping euro area financial conditions.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
F42 : International Economics→Macroeconomic Aspects of International Trade and Finance→International Policy Coordination and Transmission
G15 : Financial Economics→General Financial Markets→International Financial Markets
- 21 September 2026
- WORKING PAPER SERIES - No. 3288Details
- Abstract
- Theory suggests inflation risk premia are positive when supply shocks are expected to dominate demand shocks and negative otherwise. We measure these beliefs using demand and supply narratives derived from inflation news via Causality Extraction, which identifies causal relations between inflation and its drivers. Using narrative extracted from inflation news from the Financial Times for the Euro Area and the Wall Street Journal for the US, our key variable, NetDemand, measures the difference in articles attributing inflation to demand versus supply factors. Consistent with asset pricing theory, inflation risk premia are inversely related to NetDemand across maturities in both regions. This relationship holds even after controlling for the composite PMI and VIX, strengthens with risk aversion in the US and inflation volatility in the Euro Area, and is not subsumed by other measures of demand and supply contributions to inflation, views of professional forecasters, or narratives obtained from LLMs.
- JEL Code
- C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
- 24 February 2026
- WORKING PAPER SERIES - No. 3193Details
- Abstract
- Financial Conditions Indices (FCIs) are a widely used tool for assessing the broader monetary policy stance beyond the central bank’s direct control. This paper presents a novel vector autoregressive (VAR) model that includes key macroeconomic variables and maps financial variables into a single index, named Macro-Finance FCI. The VAR coefficients and the FCI weights are estimated jointly in one step, ensuring a model-consistent microfinance feedback. The model-implied long-run mean of the index provides a neutral benchmark to which financial conditions converge when inflation is at target and output is at potential. For the euro area, the proposed FCI incorporates nine asset prices – including risk-free rates, sovereign spreads, risk assets, and the exchange rate – and assigns a dominant role to nominal interest rates. It outperforms existing indices in out-of-sample forecasts of inflation and output. A structural identification of supply, demand, and financial shocks indicates that financial conditions require up to one year to transmit to the real economy and almost up to two years to inflation.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 30 June 2025
- OCCASIONAL PAPER SERIES - No. 371
- 16 June 2025
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 4, 2025Details
- Abstract
- This box explores the relationship between financial market volatility and economic policy uncertainty (EPU). Historically, financial market volatility and news-based measures of EPU have displayed close co-movement, albeit diverging at times and across countries. More recently, the rise in euro area EPU has reflected an intensification of an upward trend observed over a number of years, largely driven by developments in Germany. Focusing on Germany and using a large language model, a topic-based analysis of newspaper articles identifies domestic and global uncertainties as being behind the recent surge in EPU. Moreover, in line with empirical findings for the United States, a regression analysis shows that a disconnect between financial market volatility and EPU is more likely when equity market momentum is strong, while co-movement is more likely when that momentum is weak. This interpretation is consistent with developments following the US tariff announcement on 2 April, when the spike in financial market volatility aligned with persistently high EPU levels on the back of a significant sell-off in equity markets.
- JEL Code
- D84 : Microeconomics→Information, Knowledge, and Uncertainty→Expectations, Speculations
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G18 : Financial Economics→General Financial Markets→Government Policy and Regulation