Ever since July 21st ,2005 China adopted the managed floating exchange rates which based on the supply-demand relationship of the market with reference to a basket of currencies, the value of RMB appreciates with fluctuations, which will undoubtedly have a significant influence to the BOP of China. Exchange rate is one of the most important factors affecting import and export trade. In this paper, the basic concepts of exchange rate and the impact of exchange rate on import and export trade theory is defined and introduced at first. Then co-integration test and Granger causality test are used to analyze the impact of RMB real effective exchange rate on China's import and export of goods, as a result, a long-term co-integration relationship between RMB real effective exchange rate and China's export is spotted, but there is no long-term co-integration relationship between real effective exchange rate and import. In the end, relative policies and suggestions are given.