The purpose of this paper is to study the asymmetric effects of oil price changes on demand of the OECD countries. To illustrate the asymmetric effects of oil price, the price has divided to three components of the maximum, lowering and increasing price. Also, for oil demand modeling, structural time series model that is underlying trend as a factor affecting the demand for oil, has been used. In order to estimate the mentioned model, annual data from 2012 – 1965, maximum likelihood method, and Kalman algorithm - filter were used. The result show that the hypothesis of equal coefficients that represents the reversible full price of oil demand in the OECD countries as a consumer of oil has been rejected and oil price changes has asymmetric effects on its demands. Also, it has been proven that the underlying trend as an influential factor on oil demand is inherently non-linear and smooth.