In this paper, we first constructs an enterprise model including import exchange rate and export exchange rate to demonstrate how the RMB exchange rate affects the R&D decisions and achievements of enterprises. Then, based on two enterprise level databases of China's industrial enterprise database and customs trade database from 2001 to 2007 and by calculating the import weighted real effective exchange rate and export weighted real effective exchange rate at the enterprise level ,we try to examine the effect of effective exchange rate on R&D investment and innovation results of enterprises through import intermediates cost effect and export earnings effect. The results show that the rise of export weighted real effective exchange rate (devaluation of RMB) will significantly promote the R&D innovation of enterprises, and the decline of import weighted real effective exchange rate (appreciation of RMB) will significantly promote the R&D innovation of monopoly enterprises; in addition, we further verify its mechanism from the import channel and export channel respectively and find that facing the import and export weighted exchange rate,heterogeneous enterprises will show different results.