We analyze the role of endogenous capital-embodied innovation in macroeconomic dynamics. We first leverage a newly assembled dataset to show that the quality of new capital goods is procyclical because new-product introduction by capital-goods producers drops during recessions. We then develop a...

Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related...