This paper provides an analysis of long-run relations between the exchange rates and export-import prices using the EU data. This analysis gives us the information about the macroeconomic effects of exchange rates. An long-run relation of each country can be analysed by the cointegration method. But this kind of analyses shows the mixed finding of the existence of stable relation or non-existence. So this paper uses the panel cointegration approaches developed by Pedroni to test the existence of long-run relations, and the panel fully modified and dynamic OLS approaches to get the pass-through coefficients. According to the results, there exist the stable relations of exchange rates and export-import prices of the EU countries. The average exchange rate pass-through is 0.65 for export, 0.34 for import.