The objective of this survey is to present an extensive review of the literature on the economic effects of oil price volatility. It assesses both theoretical and empirical underpinnings in relevance to the role of oil price volatility in the economy by explicitly analyzing the link between oil price volatility and the economic impact on various segments and variables of the economy. This review documents that the evidence for significant macroeconomic effects of oil price volatility is strong, although methodological approaches, such as causality and endogeneity, could clearly generate mixed results.