This paper investigates whether the exchange rate pass-through (ERPT) to inflation varies with the direction and magnitude of change in the nominal exchange rate. Using non-linear and multiple threshold autoregressive distributive lag models, we reconsidered the premise of linearity and symmetry often assumed in the literature on ERPT. We found that in the case of the Philippines, the long-run ERPT is larger and statistically significant during depreciation episodes. Meanwhile, pass-through is limited during appreciation episodes, possibly reflecting the downward stickiness of prices. Further, ERPT tends to be higher at large enough depreciations while it remains limited even during large appreciations. After accounting for asymmetry, the results are consistent with previous studies establishing the decline of ERPT since the Bangko Sentral ng Pilipinas adopted an inflation-targeting framework in 2002.