Economic Uncertainty and Business and Financial Cycles

<p>This dissertation presents two chapters. In Chapter 1, I construct a new survey-based measure of macroeconomic uncertainty, composed of idiosyncratic and common components, for 46 economies over the period 1989-2014 in three economic layers: variable-specific, country-specific, and global. I find that at all three layers, this uncertainty measure has countercyclical properties such that uncertainty peaks coincide with recessionary episodes. Shocks to this measure are associated with moderate but persistent drops in real activity and do not lead to any overshooting. In Chapter 2, I introduce a new database of business and financial cycles for 75 economies over the period 1960-2013. I define financial cycles at three dimensions: real credit, equity price, and house price cycles and document the stylized facts of both business and financial cycles. Specifically, I analyze duration, amplitude, slope, and cumulative loss/gain of the phases of each cycle and estimate the cross-country synchronization. I use the database to analyze three topical questions from the literature to show the large potential use of this database. First, I test the Friedman's Plucking Model for evidence in a large set of economies; secondly, I analyze if recoveries have different phases of growth; and thirdly, I analyze the synchronization of national cycles with the cycles of three big economies, United States, Germany, and Japan.</p>