This study builds on social exchange theory to examine the underlying mechanism and boundary condition of the relationship between ethical leadership and affective organizational commitment. We hypothesized that ethical leadership can enhance perceived organizational support (POS), which in turn raises employee affective commitment. We further predicted that economic exchange weakens the effect of ethical leadership on POS. Using a two-phase questionnaire survey, we tested our hypotheses with a sample of 176 bank employees in Macau. The results of the regression analyses supported all of our hypotheses. POS was found to mediate the relationship between ethical leadership and affective commitment, whereas economic exchange was found to moderate the ethical leadership--POS relationship.