Exchange rate is the value of one nation’s currency that can be converted into others, or the unit of the domestic currency needed to buy 1 unit of foreign money system. It is an obvious that exchange rate has always been acknowledged as the main culprit behind several economic phenomena, playing a significant role in determining the change of the economy. Due to its importance, exchange rate allows comparison of good prices among countries or the transfer of funds in different nations, accounting for the health of one economy. This paper aims to take a closer look at the roles of several economic variables on the movement of exchange rate, studying the short term and long term effect as well as the beneficial or detrimental impacts contributing to the fluctuation of the currency conversion value. This research focuses on the fluctuation of three exchange rates, which are Japanese Yen, United State Dollar, Euro to Vietnamese Dong. The chosen macro variables for analyzing include economic growth, export, import, inflation, foreign direct investment, budget deficit, stock market index, crude oil price, balance of payment between Vietnam and other countries for a sample of 15 years from 2003 to 2017 quarterly.