ABSTRACT This paper identifies a structural break in exchange rate returns from July 2005 to May 2020 using the iterated cumulative sums of squares (ICSS) algorithm. Then we explore the changing effect of determinants on exchange rates based on the time-varying parameter structural Vector AutoRegression (TVP-SVAR) model. Empirically, we find a single break based on exchange rate returns and caused by regime reform. Further analysis suggests a significant change in the shocks to inflation, foreign exchange reserves, oil prices, and short-term interest rates. In addition, the domestic and international determinants of exchange rates are heterogeneous over different periods in the short and long run. In the short run, the relation between exchange rates and inflation, the interest rate, foreign exchange reserves, and oil price, is significantly negative before August 2015. However, since August 2015, the relationship between inflation and exchange rates in China has been positive. Only short-term interest rates are affected by structural changes. This study can guide policy makers in formulating the appropriate exchange rate regime to attain sustainable market efficiency over the long run.