From the perspective of different economic developmental stages,we first make a study of the price transmission mechanism among the market of CNY,CNH and NDF and examine the existence of their mean value spillover effect and risk spillover effect.Then with empirical evidence,we try to find and explain their heterogeneous characteristics of micro system and make an analysis of the induction impact of CNH market on CNY market and NDF market on CNH market.The results find that:the fluctuation clusters of the three markets is very apparent and decreasing gradually;as time goes on,the impact of the current fluctuation on the future market is slowing down,but the period of risk and loss shock on the market will become longer.Our study also shows that there exists a self adjusting mechanism in the RBM time currency difference and the difference is becoming convergent.Although the disappearing speed of currency difference and fluctuation increases or decreases as the time goes on,the slow disappearance and sharp fluctuation will keep at a higher level for a certain period of time,and the expectation and arbitrage mechanism still does not play a role in the function of the market information transmission.Lack of the price guidance of CNY market for the offshore CNH market and NDF market,the RMB exchange rate transmits from the offshore market to the domestic market.With the development of RMB marketization and internationalization,the price discovery function of offshore market on the domestic market is getting perfect,but there is a hysteresis and long feedback period in such spillover effect.