Abstract: Based on the expectation of Fed interest rate raising and fluctuations of the RMB exchange rate，regarding the RMB real exchange rate as a bridge，we use the TVP － VAR model to explore the effectiveness of conduction path of " the federal reserve interest rates adjustment →the RMB exchange rate change→asset prices volatility" ． The results showed that after the Fed announced increasing interest rates，our Stock market and currency markets will gradually form the spiral pattern: Devaluation→asset prices reset →sell China' s stock →asset prices fall →foreign capital outflow →the RMB depreciated again． But this effect does not have a long － term effect. Therefore，the Chinese government should pay more attention to the Federal  Reserve raising interest rates in the short term，through the strengthening management of foreign exchange reserves and regulation of financial markets to stabilize short － term foreign exchange and stock market volatility． In the long term，government should promote the RMB getting unhooked with US dollars in a planned way，enhancing the independence of the RMB policy，thus fundamentally stable exchange rate fluctuations and promote the healthy development of the financial market．

Key words: the Fed Reserve Interest rate rise; the real exchange rate of RMB against the U. S. dollars; asset price; TVP － VAR model