This thesis investigates topics in macroeconomics and macroeconometrics. Chapter 1, joint with Knut Are Aastveit and Francesco Furlanetto, uses a structural VAR model with time-varying parameters and stochastic volatility to investigatewhether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, the interest rate equation in the VAR is interpreted as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. Some time variation is found in the coeffcients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. We find that the systematic component of monetary policy in the U.S. i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account. Chapter 2, joint with Nicolás Castro Cienfuegos, constructs a New Keynesian model with production linkages to study how monopolistic competition, sticky prices and production networks influence aggregate productivity, measured as the Solow residual. We show that, in the presence of production networks, measured TFP is a function not only of pure technology shocks, but also of sectoral markups and of the production network itself. In this case, monetary shocks and cost-push shocks can have a negative short-run impact on TFP through their effect on individual markups, which is stronger the greater the price stickiness. Chapter 3 studies how large and small oil price shocks affect investments in the U.S., an oil producing country. I estimate a Bayesian Markov-switching VAR and compute regime dependent impulse responses. Small surprise increases in the oil price make investment decline while large oil price shocks have an ambiguous effect on total investment because non-oil investment falls while oil investment increases. A 25% oil price increase generates a 3% increase in aggregate investment and a 0.4% increase in GDP. A Markov-switching DSGE model is built to explain the empirical evidence I discover. If the ability to cover oil firms’ fixed costs depends on the size of the oil price shock, the model reproduces well the impulse responses present in the data. I show that agents’ expectations about switching oil price shock regime are crucial to deliver the outcome.