With the promotion of "going out" and "One Belt and One Road" strategy, the Outward Foreign Direct Investment of China develops rapidly. The exchange rate of RMB also presents an intermittent upward trend after the "two exchange rate reforms". This paper selects the annual data from 1994 to 2018 and establishes a model to empirically analyze the relationship between the changes of RMB exchange rate and the Outward Foreign Direct Investment of China. The results show that in the long term, the real effective exchange rate of RMB has a significant effect on China's OFDI, and the appreciation of RMB is conducive to the development of China's OFDI. However, China's OFDI has no significant impact on the real effective exchange rate of RMB. Finally, based on the empirical results, the author puts forward some policy suggestions on RMB exchange rate.