Taiwan is high trade dependence country, by continuing to develop foreign trade created Taiwan's economic miracle. For a long time, the United States whether in diplomatic, economic and trade, Taiwan has been an important strategy of one of the partners, the United States also provide Taiwan vast consumption market. Many papers focus to explore Taiwan-US trade factors, and according to the international trade and international financial theory, puts forward exchange rate is an important determinate of relative prices. However, according to theory of purchasing power parity, in the long run, if the two countries established P.P.P phase, relative price will be the main factor that affects exchange rate. Therefore, this article plans in view of the causality and time lag of the Taiwan-US exchange rate and relative price.This article is using time series analysis method of the Vector Autoregression model to analysis the causality and time lag of Taiwan-US exchange rate and relative price .The beginning of this empirical data is after the liberalization of the exchange rate in Taiwan in January 1991 to December 2011. The results of this study found that nominal exchange rate will affect the relative price, when the nominal exchange rate changes will significantly influence the relative prices of the two countries, and it needs seven months to make relative price for comprehensive adjustment.