A large body of research suggests that oil price shocks have significant impacts on economies, with diverse consequences depending on the relative production and use and consequently exports and imports. In the main, the expectation is that an oil price increase is positive for oil-exporter countries but negative for oil-importer countries. In fact, some early studies revealed that oil price increases preceded all recessions other than in the 1960s. However, by the mid-1980s, possibly because of the diminishing role of oil in real economic activity, these models began to lose their explanatory power, such that there has been considerable less effort directed at alternative modelling approaches to this fundamental relationship, not least outside the US. The main question posed in this thesis concerns the nature of the causal relationships between oil prices, the macroeconomy and financial markets and whether they vary between oil importers or exporters. To respond, we first identified a representative sample of large net oil-producer and oil-consumer economies, the former comprising Canada, Norway and Mexico and the later including Brazil, Denmark, Germany, Italy, the Netherlands, Sweden, and the US. We then specified a set of key macroeconomic and financial market variables including the consumer price index, the real exchange rate, monetary aggregates, industrial production, short-term real interest rates and share prices. Our monthly data covers the period 1986M5–2013M1. Finally, to consider the linear and non-linear macroeconomic and financial market responses to oil price movements, we employed a variety of time-series and panel data models including unit root tests, bias-corrected least squares dummy variables model, Westerlund panel co- integration test, linear causality tests, and parametric and non-parametric nonlinear tests.