This study uses the example of a Taiwanese firm investing in China and develops an exchange rate exposure model which depends on only four endogenous variables: the percentage of the firm’s revenues denoted in the currency of trade country, the percentage of the firm’s expenses denoted in the currency of trade country and third country, and its profit rate. The main issue in this research attempts to detect whether producing goods in the third country will affect a multinational firm on the exchange rate exposure and whether the currency manipulation will affect the decision of producing goods in the third country. This study finds that if a multinational firm can effectively adjust operational strategy and match foreign currency income with its cost, most of the exposure can be reduced. Besides this reducible effect of operational strategy, it is worth to note that diversified strategy just works under some conditions. For example, whether producing goods in the third country or not, the firm’s exposure will not make changes as long as the currency is equal to its true value. However, under the case of currency manipulation, the firm producing goods in the third country can reduce exchange rate risk further.