Firms that operate under uncertainty lie at the heart of business-cycle models. In principle, these firms could either choose a price and deliver the market-clearing quantity or choose a quantity and sell at the market-clearing price. We study this “prices vs. quantities” choice and investigate its macroeconomic implications theoretically and empirically. We derive a closed-form expression for the relative values of price- and quantity-setting in terms of the price elasticity of demand and four estimable moments that describe uncertainty. We show that firms prefer to set prices under high demand uncertainty and prefer to set quantities under high aggregate price uncertainty. In US data, we estimate that the economy has moved between price-setting and quantity-setting regimes over the last 60 years. We embed the “prices vs. quantities” choice in a monetary business-cycle model. We derive macroeconomic dynamics under price-setting and quantity-setting and characterize when each case emerges in equilibrium. Under quantity-setting, money has no real effects and passes through fully into prices. Under price-setting, money has real effects and passes through imperfectly to prices. This asymmetry generates new monetary policy trade-offs: attempts to stabilize the economy can backfire by inducing a regime shift that renders monetary policy ineffective. In the data, we find that monetary policy shocks have the asymmetric real and nominal effects that the theory predicts. Taken together, our results suggest that firms’ “prices vs. quantities” choices may have important macroeconomic implications.