WHAT DRIVES THE GLOBAL FINANCIAL AND REAL CYCLES? CLEARING UP THE LITERATURE MORASS

This thesis aims to study the importance of financial uncertainty, commodity prices and U.S. monetary policy on the global financial and economic cycles. Recent contributions have documented the role played by each of these shocks on the global economic cycle, and some of these shocks have also been identified as drivers of the global financial cycle. First, we estimate, with a dynamic factor framework that jointly models real commodity prices, a novel measure of commodity price index, that we call common commodity factor (CCF). The latter can be interpreted as the global demand for commodities associated with the business cycle. Second, through a VAR analysis and a recursive identification, we identify the impact and the contribution of the three shocks of interest on global financial and economic cycles. We prove the well-documented worldwide recessionary effect that the U.S. monetary policy and financial uncertainty shocks have, as well as the boom and bust that the CCF shock has. Finally, we conclude that uncertainty shocks are the main driver of the global financial and economic cycle, accounting for 45\% of their volatilities.