This paper analyzes the impact of exchange rate fluctuations on export and OFDI by constructing a general equilibrium theoretical model including exchange rate, export and OFDI. Theoretical analysis shows that the appreciation of domestic currency will restrain its export, but will promote its foreign direct investment. At the same time, the real effective exchange rate of RMB “One Belt and One Road” initiative is constructed by using the trade weight method considering the factors of entrepot trade, so as to reflect the value changes of RMB at the regional level. On this basis, the vector autoregressive model with time-varying parameters is used to empirically analyze the impact of RMB exchange rate fluctuations on exports and OFDI of countries along the belt and road, and make a comparison with the overall. The empirical results are contrary to the theoretical analysis. The paper explains the promotion effect of RMB appreciation on export from three aspects: the overvaluation of the real value of RMB, comparative advantage and the overlapping impact of epidemic impact on China’s export. The inhibition effect of RMB appreciation on OFDI from two aspects: exchange rate expectation and exchange rate fluctuation. In addition, the paper makes a comparative analysis of the interaction between export and OFDI of the countries along the belt and road. Finally, the conclusions and suggestions are given.