PURPOSE: The purpose of this study is to unravel if there is an asymmetric impact between rising price (i.e., inflation) and exchange rate in Nigeria. The study also checked if price racketeering exists in the Nigerian pricing system.

METHODOLOGY: Quarterly time series data from 1981; Q1-2020; Q4 was used and the Non-linear Autoregressive Distributed-Lag (NARDL) Model was employed.

APPROACH: The short-run and long-run analyses were performed to know the nature of asymmetric relationship that exist between inflation and exchange rate in Nigeria.

FINDINGS: The short-run results show that positive exchange rate (EXCHR⁺) and negative exchange rate (EXCHR^-), negative local interest rate (LLINTR^-), negative import (LIMPORT^-), positive gross domestic product (GDPGR⁺) and negative gross domestic product (GDPGR^-), positive foreign direct investment (FDI⁺), and negative foreign direct investment (FDI^-) significantly impact on inflation (LINFL) in Nigeria. The long-run results show that EXCHR⁺ and EXCHR^-, LLINTR^-, positive Real interest rate (RINTR⁺), GDPGR⁺, and FDI⁺, significantly impacts negatively on inflation whereas LLINTR⁺, and FDI^- impact positively on inflation. Furthermore, the Wald short-run restrictive additive test of symmetry shows that, with the exception of RINTR and LLINTR, the rest of the regressors significantly contribute to price racketeering in the Nigerian market.

Keywords: Exchange Rate, Price level, Covid-19, Nonlinear ARDL, Wald test, Price Racketeering.