Abstract:Exchange rate is a adjustive implement of reaching inward and outward equilibrium of economy. Researching the impact of exchange rate on import and export has great instructional meaning of constituting macroeconomic policy. We examine the relationship using a AR-GARCH model and co-integration theory. The result is that there is co-integration between real effective RMB exchange rate and Chinese impot and export during the long term,but not during the short term.