Pundits in the international finance have long puzzled over the lack of an empirical relationship between exchange rates and fundamentals and theoretical exchange rate models are difficult to verify using actual data related to fundamentals. This may be related to the length of the sample period or the choice of bilateral/multilateral exchange rates. This study utilized monthly data to increase the number of samples and construct the multilateral exchange rate models. The cointegration relationships between multilateral exchange rates and fundamentals were found, and short-run fluctuations in multilateral exchange rates contribute to forecast changes in fundamentals. We surmise that the reason for this is that multilateral exchange rates provide more comprehensive empirical information, which can enhance the explanatory power of conventional exchange rate models in empirical applications.