Abstract: Purpose/Significance In recent years, China has become Japan's largest import and export trading partner, and the reform of the RMB exchange rate has increased the fluctuation range of the RMB. The impact of the exchange rate fluctuation of the RMB against the Japanese yen on Sino-Japanese trade is very important. Design/Methodology The threshold-regression model is used to classify the exchange rate fluctuations of the RMB against the Japanese yen into two types: high and low fluctuations. Under these two types of fluctuations, exchange rate fluctuations have different effects on exports. Findings/Conclusions The empirical research results are as follows: (1) Threshold effect test shows that exchange rate fluctuations have a nonlinear effect on exports. (2) The parameter estimation of the threshold regression model shows that when the exchange rate fluctuation of the RMB against the Japanese yen is small, China’s export trade to Japan is negatively affected by the exchange rate fluctuation; when the fluctuation is large, the impact is not significant. (3) Using samples to make predictions at different times, the results show that exchange rate fluctuations are an important factor in predicting export changes, and the threshold nonlinear model is better than the linear model.