The purpose of this study to investigate the relationship in the long term and mutual relationship between the exchange rate of currency IDR (Indonesia) with BATH (Thailand). Study method used in this study, namely the Johansen cointegration and Granger causality. The data used in this study is the currency exchange rate IDR and BATH against the USD on a daily basis from January, 1 2004 to December, 31 2014. The empirical results show that the exchange rate of currency IDR and data BATH are not stationary at the level of intercept level, but the 1 st and 2 scd diff of data exchange stationary. Empirically also indicate that the data exchange rate of currency IDR and BATH cointegrated in the long term, but do not have a reciprocal relationship with using granger test at the rate lags 1-10, 15-20 lags the data using the exchange rate has a one-way relationship.