We investigate the underlying causes of oil price changes and their transmission mechanisms in Brazil. Additionally, we seek to evaluate whether the Brazilian production response depends on the nature of underlying shocks observed in global oil market. More specifically, we evaluate whether oil shocks are transmitted via supply or demand channels. The analysis is based on a structural VAR model that has a three-block structure comprising: (i) the global oil market block (oil supply, global demand for all industrial commodities and demand specific to the global oil market); (ii) the domestic macroeconomy block; and (iii) the domestic industry block. The domestic macroeconomy block and the domestic industry block are composed respectively by the aggregate industrial production data and by the individual industry production. We impose block recursive restrictions so that domestic variables do not affect global oil market variables, and industry level variables do not affect aggregate variables. According to the estimated results, supply oil shocks do not produce significant responses for the aggregate industrial production and individual industry production. The responses to global demand shocks and to specific demand, when significant, are positive.