Exchange rate fluctuations are bound to have an impact on the productivity of a country’s industry.In the long term，according to the theory of the relationship between exchange rate and productivity，The paper calculates China’s 27 manufacturing industries real exchange rate during 1998-2011，over the past ten years，the real exchange rate rises on the whole，but exists clear differentiation between industries；Exchange rate appreciation leads export share’s decline of low efficiency enterprise，but expands the survival of the enterprise sales revenue and market size，the economies of scale will help enterprises to reduce production costs and improve the efficiency of capital use，and promote the enterprise productivity；In addition to the size of the sales，capital labor ratio and foreign inflows have a positive effect on labor productivity.It is urgent to further improve the RMB exchange rate formation mechanism of the market，increase the flexibility of RMB exchange rate，improve the financial market，reduce the cost of capital of enterprise financing，to provide the necessary financial support for technological progress of enterprises.