This research investigates whether there exist asymmetries of exchange rate volatility on Taiwan's exports of electro-mechanics and textiles, using monthly data over the period from 1990:01 to 2001:12. Econometrically, this empirical work employs the grid search method to set dummy variables such that we can construct a nonlinear model in order to explore the differential impacts on Taiwan's exporting volumes, either when exchange rate fluctuation is slight or great. We first measure the exchange rate volatility by adopting Engle's (1982) autoregressive conditional heteroskedastic (ARCH) process, and then build up a nonlinear model to reach our goals. Our purpose not only examines whether there are the asymmetric effects of exorting volumes in response to exchange rates during both harsh and smooth periods, but also compares the disparities of exchange rate volatility during appreciation and depreciation periods. Furthermore, we contrast the differentials in industries. In all cases, we provide the evidence on asymmetries either intra-or inter-industries. Our results not only contribute to the literature on nonlinearities, but also provide further implications of business cycle fluctuations.