Using the Markov-regimes-switching- ARCH model , this paper detects the behavior of fluctuations in RMB-exchange rate risk premi umfromJan .2002 to Oct .20l0 and finds there was obvious regimes-switching in fluctuations of risk premi um deduced as the deviations from uncovered interest parity on the pair of RMB/ US dollar . During the two periods in the global financial crisis , one from Sep .2007 to Aug .2008 and the other from July to Oct . 20l0 , the fluctuations of risk premi um was in the high-fluctuation regime . In the other periods they stayed in the low-fluctuation regime . After comparing the volatility of several macroeconomic variables in the two regimes , we find that the volatilities of the monetary variables such as exchange rate , the interest rate , the price level showed significant differences in the two regimes , while the volatilities of the non- monetary variables such as the production and the consumption did not show these differences . Both the capital-control and the exchange-rate-stabilization policy can reduce the volatility of RMB exchange rate risk premium.