After 2015, with the normalization of quantitative easing monetary policy and the new situation of RMB exchange rate fluctuation, the spillover effect of US monetary policy on China’s exchange rate has become increasingly significant. By constructing time-varying parameter vector autoregressive model, the author studies Federal Reserve monetary policy normalization spillover effect on RMB exchange rate from 2008 to 2018. The results show that the interest rate hike has a lagging effect on the appreciation of RMB exchange rate against U.S. dollar in the first quarter and then changes to depreciate. The interest rate acts on RMB exchange rate through the channels of interest rate spread, output gap and money supply gap, which leads to depreciation, appreciation and appreciation respectively and the spread channel is the main channel. The expansion and shrink of the Fed’s balance sheet have a significant impact on the appreciation and depreciation of the RMB exchange rate, and the impact is asymmetric. With the normalization of quantitative easing monetary policy, a certain linkage exists between Chinese interest rates and federal funds rate. The expansion and shrink of the Fed’s balance sheet have brought the interest rates of China’s interbank market down and up respectively.