The　determinants　of　exchange　rates　have　attracted　considerable　attention　among　researchers　over　the　past　several　decades.　Most　studies,　however,　ignore　the　possibility　that　the　impact　of　oil　shocks　on　exchange　rates　could　vary　across　the　exchange　rate　returns　distribution.　We　employ　a　quantile　regression　approach　to　address　this　issue.　Our　results　indicate　that　the　effect　of　oil　shocks　on　exchange　rates　is　heterogeneous　across　quantiles.　A　large　US　depreciation　or　appreciation　tends　to　heighten　the　effects　of　oil　shocks　on　exchange　rate　returns.　Positive　oil　demand　shocks　lead　to　appreciation　pressures　in　oil-exporting　countries　and　this　result　is　robust　across　lower　and　upper　return　distributions.　These　results　offer　rich　and　useful　information　for　investors　and　decision-makers.　©　2016,　The　Author(s).