This dissertation is a collection of theoretical and empirical essays on oil price fluctuations, macroeconomics, and credit risks in banking systems. The dissertation consists of three papers organized as chapters: i) Chapter 1 evaluates the optimal monetary policy response to the underlying causes of oil price fluctuations under a Dynamic Stochastic General Equilibrium (DSGE) framework for small open oil-importing economies, ii) Chapter 2 examines the empirical dynamic effects of underlying shocks of oil price fluctuations on monetary policy response and macroeconomic aggregates across oil-exporting and oil-importing open economies, and iii) Chapter 3, however, examines the effect of the recent oil price slumps on credit risks and banking instability across Gulf Cooperation Council (GCC) region. Chapter 3 further examines the macro-financial linkages between the real economy and GCC banking systems.