SPARQL has become the most popular language for querying RDF datasets, the standard data model for representing information in the Web. This query language has received a good deal of attention in the last few years: two versions of W3C standards have been issued, several SPARQL query engines have been deployed, and important theoretical foundations have been laid. However, many fundamental aspects of SPARQL queries are not yet fully understood. To this end, it is crucial to understand the correspondence between SPARQL and well-developed frameworks like relational algebra or first order logic. But one of the main obstacles on the way to such understanding is the fact that the well-studied fragments of SPARQL do not produce RDF as output. In this paper we embark on the study of SPARQL CONSTRUCT queries, that is, queries which output RDF graphs. This class of queries takes rightful place in the standards and implementations, but contrary to SELECT queries, it has not yet attracted a worth-while theoretical research. Under this framework we are able to establish a strong connection between SPARQL and well-known logical and database formalisms. In particular, the fragment which does not allow for blank nodes in output templates corresponds to first order queries, its well-designed sub-fragment corresponds to positive first order queries, and the general language can be re-stated as a data exchange setting. These correspondences allow us to conclude that the general language is not composable, but the aforementioned blank-free fragments are. Finally, we enrich SPARQL with a recursion operator and establish fundamental properties of this extension.