Is it normal that I've never worked a day in my life

It's not normal. I believe having a job, a drivers license and a bank account are key things you must have.

I'm 22 and I couldn't imagine being jobless, relying only on my parents. I feel bad whenever I ask them for money.
I study economics and my parents do help me out, cause my job doesn't pay enough to cover all my expenses. So I pay my rent and bills using my parents money and maintain the car and live off the money I make.

But I can sympathize... When you are a university student, there are no good jobs. Only shitty ones like mcdonalds, or being a drone in some factory. If you go to some company the employer asks: "Do you have any experience doing this?" You may have a masters degree in 5 things, but they still say no.
What employers want is a 22 year old with a masters degree and at least 3 years experience. Something that is almost as impossible as a honest politician! XD
I only got a good job, cause of connections.

As for not having a bank account and a drivers license... why?!
Do you keep all your money with you? That's irresponsible and frankly stupid. Even if you keep that money at home. Never keep large amounts of money with you.

As for the drivers license - I'd rather die, than not have a car or a license! Cars are among the greatest things ever made! Thank you sir Karl Benz and Daimler Benz AG for inventing and reinventing this piece of magnificence.