In this thesis, I examine the impact of energy price shocks in the United Kingdom using a New-Keynsian Dynamic Stochastic General Equilibrium (DSGE) model and a classic Real Business Cycle (RBC) model. The models are augmented with real rigidities and driven by exogenous shocks. Chapter 1 examines a DSGE model with New-Keynesian Philips Curve with three outputs of energy (petrol and utility), and non-energy output, using filtered data (1981:Q1-2014:Q4) of the UK. Chapter 2 examines a two-sector (RBC) model of energy intensive output and non-energy intensive output, using unfiltered data (1990:Q1-2014:Q4) of the UK. The models are econometrically estimated using indirect inference test that includes Monte Carlo simulation. I show how the study can be quantitatively applied by evaluating the effects of different shocks on output, relative prices and interest rate. I also show how energy price shocks affect output, asset prices and aggregate consumption in a classic RBC model. By decomposition, the changes in these variables caused by each of the structural shocks showed that a fall in output during the financial crisis period 2008:Q2 to 2009:Q4 was driven by energy price shocks and sector-specific productivity shocks. Conversely, in the DSGE model with NKPC, the changes in these variables caused by each of the structural shocks showed that a fall in output during the financial crisis period 2008:Q2 to 2009:Q4 was driven by domestic demand shocks (consumption preference, government spending and capital adjustment cost), oil prices shock and world demand shock. I found why the energy price shock reduces GDP in the models: In NKPC model with stationary shocks this is only a temporary terms of trade shock and so GDP only falls briefly, such that, the UK can borrow against such a temporary fall. In the RBC two-sector model, I found, it must be that the terms of trade rise permanently when world energy price increase as it is non-stationary and there is no other way to balance the current account than to reduce absorption due to lack of substitute for energy inputs. Finally, I found that the RBC two-sector model with non-stationary shocks performs better than NKPC model with stationary shocks. The performance can be credited to using unfiltered-data on the RBC model. This thesis show how estimated models can create additional input to the policymaker’s choice of models through the economic shocks’ effects of the macroeconomic variables.