The study hypothesizes if asymmetric relationship exists between oil price and inflation nexus. Essentially, this study uses a multiple threshold nonlinear autoregressive distributed lag model in a dynamic common correlated effect within the environment of heterogeneous panel framework. Results reveal the importance of asymmetry in the model for both oil-import and exporting countries, with countries responding more to positive shocks. Quantile decompositions show that the asymmetry effect of oil price change fizzles out only for the oil importing country. For the oil exporting countries, asymmetry is important at higher quantiles. Accounting for breaks do not significantly alter earlier results. In line with empirical outcomes, policy implications are discussed.