By employing the method of national income accounts indentity，this paper develops a model which analyzes how the exchange rate influence the industrial structure under the assumption of opening economy. The empirial result shows the raise of RMB real effective exchange rate will reduce the growth rate of the three major industries of the China’s economy in different levels. However，the appreciation of RMB will exert pressure on the labor intensive industry, which is beneficial to the resources assignation，meanwhile the appreciation is useful to adjust the direction and allocation mode of capital flows by decreasing the amount of cost-oriented FDI. Thus, it will optimize the industrial structure.