This paper aims to investigate the effects of unanticipated oil price changes on the Turkish economy using quarterly gross domestic product (GDP) and monthly consumer price index (CPI) and real exchange rate (RER) for the period 2002-2013 . While the bulk of previous studies have employed the standard methodology without true data generating process knowledge, in this study asymmetric Vector Autoregressive methodology proposed by Kilian and Vigfusson (Quant Econ 2(3): 419-453, 2011) is used to analyze the asymmetric impact of oil prices on macroeconomic aggregates. This method allows the researcher to investigate the asymmetric effects of innovations in oil prices on variables without knowing data generating process is linear or not. Empirical findings that, the oil prices changes have asymmetric effects on CPI and RER at one standard deviation shocks in different periods unlike GDP. These asymmetric effects are also statistically significant at 10 % significance level. Specifically, when oil price increases, CPI and RER increases but GDP decreases in the long term.