Abstract: Since, it was proposed by Shin, Yu and Greenwood-Nimmo (Festschrift in honor of Peter Schmidt: econometric methods and applications, Springer) the Nonlinear Autoregressive Distributed Lag (NARDL) approach originated from Pesaran, Shin and Smith has been employed by manifold recent studies to scrutinize the asymmetrical causality between independent and dependent variables. Expressly, NARDL is regarded as an appropriate method for examining whether the effects of exchange rate depreciation and exchange rate appreciation on trade balance are distinguishable which might be an imperative of Foreign trade policies. Phong, Bao and Van (Studies in computational intelligence: Econometrics for financial applications, Springer) evaluates the impact of exchange rate volatility on Vietnam’s trade balance using the linear ARDL approach of Pesaran et al. and finds significant results. This study ameliorates our previous research by testing asymmetric effects of Vietnam’s exchange rate volatility on trade balance using NARDL approach. The findings denote that short-run and long-run exchange rate volatility considerably impacts the trade balance of Vietnam. Indubitably, the trade balance of Vietnam responds more strongly to VND depreciation than to VND appreciation.