I am indebted to my advisors Paolo Surico, Hélène Rey, Florin Bilbiie and João Cocco for their invaluable guidance and support. For helpful comments and suggestions, I thank the coeditor, Emi Nakamura, three anonymous referees, my discussants Jim Stock, Johannes Stroebel, Ravi Bansal and Allan Timmermann, as well as Michele Andreolli, Juan Antolin-Diaz, Christiane Baumeister, Thomas Bourany, James Cloyne, Thomas Drechsel, Marty Eichenbaum, Martin Ellison, Rob Engle, Jesus Fernandez-Villaverde, Luis Fonseca, Luca Fornaro, Lukas Freund, Stephie Fried, Mark Gertler, Simon Gilchrist, Lars Hansen, Arshia Hashemi, Kilian Huber, Maral Kichian, Max Konradt, Joseba Martinez, Leo Melosi, Kurt Mitman, Silvia Miranda-Agrippino, Ben Moll, Elias Papaioannou, Ishan Nath, Tsveti Nenova, Luca Neri, Aleks Oskolkov, Christina Patterson, Pascal Paul, Gert Peersman, Giorgio Primiceri, Valerie Ramey, Sebastian Rast, Lucrezia Reichlin, Natalie Rickard, Esteban Rossi-Hansberg, Fabian Seyrich, Andrew Scott, Vania Stavrakeva, Jón Steinsson, Rob Vigfusson, Beatrice Weder di Mauro, Christian Wolf, Nadia Zhuravleva and participants at numerous seminars and conferences. I thank Pablo Sanchez and Luca Zanotti for excellent research assistance. I thank the ECB for the Young Economists' Prize, the IAEE for the Best Student Paper Award and the AQR Institute for the Fellowship Award. I am grateful to the Wheeler Institute for generously supporting this research. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.