: The effect of Federal Ｒeserve’s monetary policy on the ＲMB foreign exchange market pressure will change with the monetary policy mode and different economic environments in different economic periods． Therefore，based on the theory of spillover effect of international monetary policy，this paper first tests the nonlinear relationship between Federal Ｒeserve’s monetary policy and ＲMB foreign exchange market pressure， then constructs a factor-augmented vector autoregressive model with time-varying coefficients and stochastic volatility． The model is used to study the non-linear impact of Federal Ｒeserve’s monetary policy on ＲMB exchange market pressure from the aspect of quantitative monetary policy and price-based monetary policy． It is found that: First，in the period of economic prosperity and economic stability，the quantitative easing monetary policy of Federal Ｒeserve mainly causes appreciation pressure of ＲMB exchange market through capital and financial accounts，while the price-based easing monetary policy of Federal Ｒeserve mainly causes depreciation pressure of ＲMB exchange market through capital and financial accounts． Second，in the period of economic depression，the quantitative easing monetary policy of Federal Ｒeserve mainly causes depreciation pressure of ＲMB exchange market through the current account，while the price-based easing monetary policy of Federal Ｒeserve mainly causes appreciation pressure of ＲMB exchange market through the current account． This paper predicts that Federal Ｒeserve will implement the price-based easing monetary policy，and suggests that the Central Bank of China implement the same price-based easing monetary policy，to reduce the depreciation pressure of ＲMB and maintaining the stability of the ＲMB exchange rate．