Abstract： Based on the STAR model and the LT-TVP-VAR model, this paper empirically examines the effect of monetary policy and output shock on RMB real exchange rate fluctuation from the perspective of asymmetry and time variation. The result shows that the positive effect of expansionary monetary policy on RMB real exchange rate fluctuation is stronger than the negative effect of tightening monetary policy on RMB real exchange rate fluctuation. Compared with the positive output shock, the reverse output shock has a stronger effect on RMB real exchange rate fluctuation. As the currency shock transitions from low intensity to high intensity, the effect on RMB real exchange rate fluctuation is gradually enhanced. The effect of high-intensity output shock on RMB real exchange rate fluctuation is also stronger than the effect of low-intensity output. The effect of monetary policy and output shock on RMB real exchange rate fluctuation has significant time-varying characteristic. Before and after joining the WTO, the effect of monetary policy and output shock on RMB real exchange rate fluctuation changed from a weakening trend to an increasing trend. Before and after the global financial crisis, the effect of output shock on RMB real exchange rate fluctuation was more obvious. During the new economic normal period, the effect of currency shock on RMB real exchange rate fluctuation was more obvious.

Keywords： Monetary Policy; Output Shock; RMB Real Exchange Rate Fluctuation