Under the framework of open economy，this paper develops an endogenous dynamic system consisting of the foreign exchange interventions of the central bank，the fluctuations of the ＲMB exchange rate and changes in credit spreads． The theoretical analysis explains the micro-linkage mechanism among the three factors and reveals non-linear endogenous relations among them． To capture the non-linear linkage effect，an empirical study is conducted utilizing the time-varying parameter structural vector autoregression model with stochastic volatility ( SV-TVP-SVAＲ) with monthly data from 2010 to 2018． The empirical findings suggest that the non-linear linkage effect has distinct time-varying characteristics． The stabilizing effect of the central bank’s interventions on the ＲMB exchange rate is decreasing． The linkage effect of the credit spreads variations among bonds with different maturities and ratings are asymmetricly related with the other two factors．The findings can deepen the understanding of the relationship between the exchange rate and the credit spread，provide theoretical support for all participants in the bond market to prevent risks，and have some enlightenment for the central bank to control ＲMB exchange rate．