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The interaction between oil and macroeconomic performance has long attracted attention in the economic literature. 1 This interest dates back to the 1970s. As shown in Figure 1, the 1970s and early 1980s were characterised by large oil price spikes. Unfavourable oil supply shocks are frequently considered to have been the underlying source of worldwide macroeconomic volatility and stagflation during that period (see for example Blinder and Rudd 2008). The long-standing debate surrounding the relationship between oil and the macroeconomy has recently intensified in light of dramatic oil price fluctuations. Specifically, while the price of crude oil hovered around US $12 a barrel at the beginning of 1999, the price shot up to US $133 by the middle of 2008 and collapsed to US $39 in early 2009. In this paper, we examine the macroeconomic effects of oil shocks across a set of industrialised countries that are structurally diverse in terms of size, labour market characteristics, monetary policy regimes, and the role of oil and other forms of energy in the economy: Australia, Canada, the euro area, Japan, Norway, Switzerland, the United Kingdom and the United States. We analyse the interaction between oil and the macroeconomy from three different perspectives which can provide valuable insights for monetary policy.