In the new-Keynesian model, the Phillips Curve is derived from the optimizing behavior of consumers and monopolistically-competitive firms through Taylor expansions and log-linearizations, which guarantees a linear, intuitive analytical expression for this relation. Lately, however, part of the literature has argued that the Phillips Curve fits better the data when modeled in a non-linear fashion, although tests of linearity of the specification against a nonlinear alternative are rarely undertaken. In this dissertation, provided the lack of theoretical bases within the new-Keynesian model to motivate the introduction of nonlinearities in the Phillips Curve, we adopt a flexible nonlinear modeling technique that allows us to test for the presence of asymmetries in the new- Keynesian Phillips Curve without having to stipulate a priori its functional form. Our results indicate that, in countries adopting the inflation targeting system, there is evidence of nonlinearities, since inflation was shown to react differently to output, according to the size of deviations of inflation expectations from the target. We can reject, however, that there are asymmetries originated by the degree of aggregate demand activity.