Abstract: It is of great practical significance to study the transmission mechanism of foreign exchange market pressure and money market pressure to prevent systemic financial risk. In view of the non-linear influence relationship between exchange market pressure and the money market pressure during the different periods of RMB appreciation and depreciation, the Markov mechanism transformation model (MS-VAR) is used to identify the regimes between July 2005 and December 2019. On this basis, the change path of foreign exchange market pressure (EMP) and money market pressure (MMP) in different regimes and regime transfer process is analyzed. According to the research results, MSMH(3)-VAR(2) model identifies three regimes: moderate appreciation, strong appreciation and strong depreciation; As the EMP shifts from strong depreciation regime or strong appreciation regime to moderate appreciation regime, MMP eases; Under the strong depreciation and strong appreciation pressure regime, the central bank intervention strengthens the positive impact of EMP on MMP, especially in the period of devaluation, the positive impact effect of EMP on MMP enhances significantly; Under the three regimes, MMP has a negative impact on EMP. It can be seen that the key of maintaining financial market stability is to stabilize exchange market pressure, avoid RMB from strongly depreciating in a short period of time and guide RMB to moderately appreciate in the long run, with gradually less dependence on the intervention of the central bank.

Key words: exchange market pressure, money market pressure, nonlinear relationship, MS-VAR model