This thesis is composed of three chapters. After a brief introduction, the first chapter discusses the definition of on-the-job training, reviews the literature, and reports empirical analyses for the specific case of UK. I decompose training participation and study its evolution in the last 20 years for specific sub-groups of workers, providing new compelling evidence. The second chapter finds empirical evidence in favour of a relation between training and wage inequality between workers with different education level. On this basis, a dynamic general equilibrium (DGE) model with on-the-job training is developed and calibrated to match UK data. I use the framework to study the redistributional effects of training subsidies. The model is intentionally simple, to allow for a better understanding of the dynamics of macroeconomic variables after policy changes. The third chapter proposes a more articulated general equilibrium model which features training externalities and distortionary income taxes. I present evidence that motivates the use of this framework, and its underlying assumptions. Thus, I calibrate the model to replicate the salient characteristics of the UK economy and I employ it to evaluate the welfare effects of policy reforms on training. The main contributions of my work are summarised in the conclusions.