This paper analyzes the dynamic effect of exchange rate changes on importand domestic prices under the assumption that foreign variables such as oilprices, U.S. stock prices, and yen/dollar exchange rates are blockexogenous. According to the empirical results, an increase in won/dollarexchange rates generates stronger responses in contemporaneous import anddomestic prices when indirect causal relationships through other variables aswell as a direct causal relationship are considered together. The effect ofexchange rate pass-through on prices is also bigger in the long-run than inthe short-run. A 1% upward shift in won/dollar exchange rates has long-runeffects of 1.139%, 0.292%, and 0.115% on import, producer, and consumerprices, respectively. In addition, the long-run effect of exchange ratepass-through on import price is stronger when won/dollar exchange rates arefalling rather than rising. The size and statistical significance of asymmetriceffect become smaller in the order of import, producer, and consumer prices.