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This study examines the symmetric and/or asymmetric effects of changes in the interest rate on exchange rate of the ASEAN countries. It further aims to compare these linkages by using a dataset consisting of 48–68 quarterly data items, ranging over the period 2002–2017, of the ASEAN countries. Using both the linear autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches, the findings indicate that these effects vary from one country to another. We observe that changes in interest rates have short-run symmetric effects on the exchange rates, which also hold in the long run for five ASEAN countries, namely, Cambodia, Malaysia, Thailand, Vietnam, and Singapore. On the other hand, changes in interest rates have asymmetric (negative) effects on the exchange rates, which also hold in the long run for seven ASEAN countries, namely, Cambodia, Indonesia, Malaysia, the Philippines …