Abstract: was In this paper,we and construct a factorstudy augmented on Markov regime switching vector autoregressive model,take a the comparative influence the 16 models.Among them,MSIAH(2)-FA(2)-VAR(2)policy chosen to analysis between of Federal of Reserve's and monetary on RMB exchange is market that:pressure the first quarter 1997 the third quarter of 2015.It policy found RMB the first,there are In asymmetric the effects 1,there of are Federal relief Reserve's effects monetary Federal on exchange market on pressure.exchange regime of Reserve's monetary is policy RMB market pressure,and the the degree of the effects is larger,of delay shorter,volatility is on bigger;RMB in regime 2,there are promoting degree effects the Federal Reserve's monetary policy exchange market pressure,and the of effects is less,delay is longer,monetary volatility policy is RMB to smaller.The exchange second,in the regime 1,the influence interest monetary of Federal Reserve's on market pressure Federal taking place by rate mechanism,the PBOC the should RMB be alert the influence appreciation of Reserve's and tight policy shocks on exchange market pressure China's selling finance foreign market,the tight monetary be policy optimal of raising interest policy.rate,reducing M2,and exchange of assets may the monetary The third,in the regime 2,the place influence Federal Reserve's PBOC monetary policy on the RMB exchange market Federal pressure taking by price mechanism,the the should exchange be alert to influence of Reserve's China's tight monetary policy shocks on RMB of market depreciation rate,pressure M2,and and price system,the tight may monetary be policy raising interest reducing buying foreign exchange assets the optimal monetary policy.

Key Words: Federal Reserve; RMB; Foreign Currency Market Pressure