Abstract: Combing with the Markov region transfer vector autoregressive model (MS-VAR), the paper empirically analyses the nonlinear relationship between exchange market pressure and monetary policy under different regional regimes by use of the data from July 2005 to April 2016. The research finds MSIH (3) -VAR (1) can better describe the relationship between variables; the responses of EMP to the monetary policy variables are not completely same under the moderate appreciation, strong appreciation and depreciation of the three regional system. Therefore, in view of the current situation of depreciation of the RMB, we should carefully control the amount of M2 investment and ease the devaluation pressure by controlling the stagflation of CPI and moderately lowering interest rates.

Key words: exchange market pressure, monetary policies, ease devaluation pressure