@Prices and exchange rates are the core of the economic variables in an open economy, and there are also extremely close relationship between these two economic variables. In the continuous development of the history of exchange rate theory, the price and exchange rate relationship have always been intertwined. After reform and opening up for 30 years, Chinas economy has transformed from a highly centralized planned economy towards a free and open market economy This paper is to test whether Law of one Price is effective in China and on what extent it can take effect. Chapter one reviews history of Renminbi exchange rate, Chapter two generally reviews the relationship between exchange rate and price, Chapter three is the empirical analysis of influence of exchange rate on domestic price. First confirm the variables: domestic and foreign CPI，the RMB exchange rate, then use ADF Test, Co-integration Test to investigate the influence of exchange rate on domestic price and analyzes the results of the model and Chapter four brings forward suggestions.