An empirical investigation of the effects of oil-price changes on the US economy is conducted, using Sim's (1980a) techniques based on unconstrained vector autoregressions. In a 7-variable system, estimated with monthly data for 1962 (May) to 1981 (June), we find the price of oil to be especially important in its impact on nominal wages. Lesser effects on industrial production and prices are also detected, the former only manifesting itself over a time period of two years or more.