Abstract: In this paper， we study the asymmetry of RMB exchange rate transmission to inflation in different stages of the economic cycle by constructing two-step NARDL estimation framework. The conclusions are as follows: In terms of model optimization， two-step NARDL estimation breaks through the gradual singularity problem of the single-step NARDL， and the estimation is more accurate. In terms of the asymmetric of the exchange rate pass-through， the asymmetric overall transfer effect of exchange rate fluctuations on inflation during the sample period is mainly concentrated in the long term. Both the appreciation and depreciation of RMB will aggravate China's inflation. Meanwhile， inflation is more sensitive to the depreciation of the exchange rate. In different stages of the economic cycle， the impact of exchange rate depreciation is still stronger than the appreciation， but the transmission effect of exchange rate appreciation shows great changes in different macroeconomic conditions， and the exchange rate changes show a stronger transmission effect on inflation in the stage of economic contraction.

Key words: RMB exchange rate; exchange rate pass-through; inflation; NARDL two-step estimation; asymmetry