The exchange rate volatility is an important factor that can influence the inflow of FDI. Based on the series data from 1994 to 2012, this paper uses Clow testing and constructs a model with a variable representing financial crisis to analyze the correlation between real exchange rate volatility of RMB and the inflow of FDI. Through an empirical analysis, we find that this correlation turns out to be opposite. There are two main factors accounting for the positive influence. One is that China has become a shelter for foreign funds. The other is that the foreign traders want to avoid trade barriers. Meanwhile, we conclude that if the exchange rate volatility is further close to the real exchange rate of the market, it can increase the inflow of FDI which may be beneficial to the development and stability of our economy.