This study investigates the relation between macroeconomic variables such as real GDP growth, inflation, unemployment rate, trade deficit and the exchange regimes. The idea is to explore whether the macroeconomic indicators give better result when are under the influence of fixed or fluctuating exchange rates. In order to obtain relevant results, we took 5 countries with fixed and 5 countries with floating exchange rates. The paper also concerns the Macedonian exchange rate regimes. Here the focus is put on two periods. The first one is from 1993- 1995 when the country had fluctuating exchange rate. The second period is from 1995 till now -2011, when Macedonia has been implementing a regime of fixed "pegged" exchange rate.