This study aims to investigate the asymmetric effects of exchange rate fluctuations on the automobile, housing, and stock markets, as well as the consumer price index (CPI), in Iran over the period 1991–2022 (1370–1401 in the Persian calendar). To analyze the data, positive and negative exchange rate shocks were first computed using the Nonlinear Autoregressive Distributed Lag (NARDL) model. Subsequently, the impacts of these shocks on the prices in the automobile, housing, and stock markets, as well as on the CPI, were examined. The empirical findings reveal both short-run and long-run nonlinear relationships among the variables under investigation. Specifically, the analysis of asymmetric exchange rate shocks indicates that automobile and housing market prices respond significantly only to positive exchange rate shocks, with the magnitude of the effect being greater in the automobile market than in the housing market. In contrast, negative exchange rate shocks exert no statistically significant influence on either market. Regarding the stock market, the results demonstrate that it is sensitive to both positive and negative exchange rate shocks, with negative shocks exerting a more pronounced impact on stock prices than positive ones. Furthermore, the dynamic relationship between the CPI and the exchange rate shows that the CPI is influenced solely by positive exchange rate shocks, while negative shocks have no significant effect. Consequently, quantifying exchange rate volatility represents a critical policy implication across countries, particularly in developing economies such as Iran.