In this paper we build on recent work by Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) and investigate the relationship between oil price uncertainty and the level of economic activity, using quarterly Canadian data over the period from 1974:1 to 2010:1. In doing so, we use a bivariate VARMA, GARCH-in-Mean, asymmetric BEKK model, as detailed in Engle and Kroner (1995), Grier et al. (2004), and Shields et al. (2005). We show that the conditional variance–covariance process underlying output growth and the change in the real price of oil exhibits significant non-diagonality and asymmetry. We also present evidence that increased uncertainty about the change in the real price of oil is associated with a lower average growth rate of real economic activity in Canada, consistent with the results in Elder and Serletis (2010, forthcoming) and Rahman and Serletis (forthcoming) for the United States and Elder and Serletis (2009) for Canada. Our results are robust to alternative measures of the price of oil, alternative measures of the level of economic activity, and alternative data frequencies.