Abstract: With the worldwide economic ingratiation, exchange rate was playing a more and more important role in the distribution of resource. Besides its active side, the appreciation rate of RMB brings lots of passive influence which couldn't be ignored. During China's import and export trade, wheat occupied a decisive position. The study purpose of this paper was that the RMB exchange rate would how to influence China's wheat import trade, and in view of the different influence we should put forward the different measures. Based on the general principle of the influence on import trade by fluctuation of exchange rate, this paper found an econometric model with C-D function in order to study the influence on China's wheat export trade with the help of regression analysis, ADF test, Co-integration test, Granger test and impulse response function. The results showed that time lag effect exists in the influence on China's wheat import trade by the variation of RMB' nominal rate. But when considering of first-lagged (one month) exchange, the appreciation promotes the wheat import. In this case, anti J-curve effect appeared in our wheat import. In the end, some suggestion has been made from the government, interpreters and farmers.