During the Russian transition period, a close relationship exists between macroeconomic volatility and exchange rate system. This paper firstly reviews the dilemma of the exchange rate system in the emerging market economies, and overviews the evolution of Russia's exchange rate system. Then, this article analyzes the exchange rate system arrangements and the macroeconomic effects of exchange rates changes from the perspectives of exchange rates and inflation, exchange rates and foreign trade, exchange rates and capital flows, exchange rates and foreign debt scale structure. Finally, this article makes a brief summary of the enlightenment of Russian experiences to China.