Abstract: Exchange rate policy is central to improving the economic performance of a nation. It is however, argued that the effect of exchange rate changes on output depends on whether it is anticipated or not. Earlier studies on the effects of exchange rate on the Nigerian economy ignored differences in sectoral output responses to changes in exchange rate and economic agents’ expectations. This study therefore, attempt to fill this gap by investigating the effects of anticipated and unanticipated changes in exchange rate on aggregate and sectoral output in Nigeria between 1970 and 2007. The result obtained showed some differences in sectoral output responses to anticipated and unanticipated depreciation. The coefficients of anticipated exchange rate in the equations for aggregate output, agriculture, manufacturing and output of services were -0.05, -0.15, -0.01 and 0.09, respectively. All of these were significant at 5% level. Unanticipated exchange rate had insignificant positive effects on aggregate and sectoral outputs (except for manufacturing). This implied that policy neutrality hypothesis may not hold for the Nigerian environment and more importantly that existing structures could not support an expansionary argument for exchange rate depreciation during the period of study.