 This paper investigated the relationship between oil prices and exchange rates in five Asian countries. It compared two econometric methods, ordinary least squares, OLS, and quantile regression, QR. The OLS model was found to be more accurate than the QR model when it came to predicting the direction of the relationship between oil prices and exchange rates. However, the QR model was better at capturing the magnitude of the relationship. Additionally, the study found that asymmetric effects were present in the relationship between oil prices and exchange rates, meaning that the effect of rising oil prices on exchange rates was not the same in all cases. To account for this, the study suggested allowing for asymmetry in the oil price by decomposing the price into positive and negative changes. This article was authored by Khalid M. Kaswani and Mahalit G. Fikru.