The relevance of imperfect competition for models of economic fluctuations has received increased attention from researchers in both macroeconomics and industrial organization. We outline a new methodology for estimating industry markups of price over marginal cost and the influence of market structure on cyclical movements in total factor productivity. Measures of industry concentration, import competition, and unionization are important for explaining markups in some industry groups. Much of the estimated markup of price over marginal cost is accounted for by non-capital fixed costs. Finally, we show that our estimated margins fluctuate substantially over the cycle. In particular, there are substantial differences in cyclical fluctuations in margins in durable-goods and nondurable-goods manufacturing industries.