The effectiveness of central bank’s intervention on RMB exchange market is investigated from the perspective of heterogeneous traders, by utilizing the MS-TVTP model (Markov-switching model with time-varying transition probabilities) and representative monthly data from July 2012 to November 2015. The results show as follows. RMB tends to appreciate if the interest rates difference between China and the US increases, and vice versa. Under noise trading mechanism, the exchange rate change in the previous period will have a positive impact on the exchange rate at current period, while the exchange rate change of last two periods will have a negative impact on exchange rate at current period. In addition, the parameter of central bank intervention is not significant, which means the impact of central bank intervention on RMB exchange rate movement is not significant from the monthly data. Therefore, from a long-term perspective, in order to maintain a stable and healthy RMB exchange rate, it is necessary to timely prevent and mitigate serious economic risks to ensure a healthy macroeconomic fundamental.