The monetary transmission mechanism is the overall process of explaining how monetary policy decisions by the central bank affect real variables in the economy. One of the channels of the monetary transmission mechanism in the literature is the exchange rate channel. The exchange rate channel is the mechanism to affect the level of export-import and the total output by monetary changes through the exchange rate. In this study, the effectiveness of the exchange rate channel in Turkey is tested during 2005: 1-2016: 12 by the asymmetric impulse-response functions. According to the findings, the exchange rate channel is not valid in Turkey whereas asymmetric shocks provide partial evidence of the validity of this channel.