The main purpose of this study is to examine causality between oil price and real exchange rate in the context of Iranian economy during 1991/1 to 2011/12. In doing so, a novel technique based on the combination of Wavelet transform and Artificial Neural Network has been used. Empirical results confirm an unidirectional causality from oil price to exchange rate in time domain and after decomposing time series only in third scale a bidirectional causality exists.