This paper studies how changes in oil prices affect the Danish economy. To study the effects, I use recent identification design developed by Känzig (2021) where high-frequency financial data around OPEC announcements are exploited. The identified oil news shocks are incorporated into a local projection framework to estimate the dynamic response of Danish macroeconomic variables. In contrast to previous studies, I find that the Danish economy is vulnerable towards rises in oil prices. A 10 percent increase in oil prices reduces real GDP by around 0.8 percent after roughly two years. Private consumption declines by about 0.7 percent, while investment falls more strongly by approximately 2.5 percent. The labour market deteriorates as employment falls and the unemployment rate rises by roughly 0.25 percentage points. Inflation increases temporarily, peaking at about 0.3 percent within the first year before gradually returning to baseline. Overall, the results suggest that oil price increases generate a temporary stagflationary episode in the Danish economy characterised by higher inflation and lower economic activity.