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Based on the analysis of relevant materials which related to the linkage relationship between the exchange rate and interest rate, the article found the existence of the coordinative relationship between them, in some domestic and foreign economic entities. Concentrated studies, on the theories of interest rate decision and exchange rate determination, as well as the linkage system of rates, presented that the linkage system, the channel and the conduction approaches of rates mainly were the commodity sphere, the finance sphere and the assets pool, under China’s practical economy operation. Hence, using the Econometrics WLS method on estimating the relation equation, including the variables of E, R1 and CAM2, the article analyzed the relationship between 1-year RMB deposits interest rate and nominal exchange rate and drew the conclusion that the linkage of nowadays RMB exchange rate and interest rate existed, with inconspicuous effect. Moreover, it shows evident unipolarity on the beforehand influence of RMB exchange rate to interest rate. Afterwards, combined with the policy, which related to the application and its effect, since the exchange reform in 1994, the article concluded the experience of the application of the policy, called "administrate after divide, with orderly control". At the end, aim at the shortage caused by "saving policy" of China’s nowadays post-crisis period, the article proposed measures and implementation steps of improve the linkage relationship between "exchange rate and interest rate" under a new situation, in order to deepen the marketization of interest rate, in different stages of promoting structural reform. With discussing key points among those steps and revealing the effectiveness, the article also indicated that the focal point should be the openness and reform of capital account, which are now gradually broadening, when improving overall the policy of the interest rate mechanism of RMB.
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