This study examines the asymmetric effects of exchange rate uncertainty on investment in the Iranian economy. Given the critical role of the exchange rate in economic decision-making and the differing impacts of its appreciation and depreciation on investment levels, the present research employs the Multivariate Threshold Nonlinear Autoregressive Distributed Lag (MT-NARDL) model. The dataset consists of quarterly time-series data on the real effective exchange rate, investment, gross domestic product, inflation, and government expenditure over the period 1991–2024. The main objective is to analyze the short-run and long-run asymmetric effects of exchange rate shocks on investment while identifying potential threshold levels that distinguish different economic behavioral regimes. This approach allows for the investigation of nonlinear and dynamic relationships among the variables. The results indicate that a positive exchange rate shock (depreciation) has a coefficient of –0.39, implying that an increase in the exchange rate leads to a reduction in domestic investment. In contrast, the coefficient of a negative exchange rate shock (appreciation) is +0.23, suggesting that a decrease in the exchange rate stimulates investment in the country.