Essays on Incomplete Markets and Macroeconomics consists of contributions of theoretical and empirical nature in the sub-field of Macroeconomics through two chapters. In the first chapter, titled Liquidity Regulation in a Monetary Economy, although it is commonly argued that the prevention of bank runs is the main reason to regulate banks' asset portfolios, I show that a market failure that justifies such regulation lies on the incompleteness of financial markets when there is risk about the aggregate distribution of transaction types. I develop a framework in which outside (fiat, government-provided) and inside (plastic, bank-created) money co-exist as means of payment under either complete or incomplete financial markets for aggregate risk. The welfare analysis is reduced to comparing only two parameters: the currency-to-liability ratio [delta] which is set by the government and the fraction [rho] of banks' depositors engaged in cash-only transactions (inside money cannot be accepted). In equilibrium, when [delta]