The correlation of exchange rates in the foreign exchange market has been paid fervent attention by the academic circles. The multiscale auto-correlation and cross-correlation between CNY and four other major currencies are investigated through multiscale detrended fluctuation analysis(MSDFA) and multiscale detrended cross-correlation analysis (MSDCCA). It is found that the auto-correlation of exchange rate between CNY and USD is strong and the auto-correlation of exchange rate between CNY and KRW is weak. Setting CNY as the base currency, the cross-correlation of CNY–USD & CNY–EUR is strong and the cross-correlation of CNY–USD & CNY–JPY is weak.