Abstract: In the context of frequent major events and continued interest rate hikes by the Federal Reserve，frequent fluctuations in the world exchange rate market affect the stable development of the financial market. Based on the cornerstone role of exchange rate stability in the global economy，this paper explores the currency exchange rate fluctuations of major Asian economies in different rate hike cycles of the Federal Reserve. ALASSO-VAR model is constructed to study the volatility risk conta? gion of the exchange rate market of major Asian economies in different time dimensions from the per? spective of volatility spillover. The results show that from the static point of view，the volatility risk spillover network in the Asian exchange rate market presents the characteristics of“high clustering”and“geographical proximity，”with a certain correlation between currency exchange rate movements among major economies；from a dynamic point of view，the Fed′s interest rate hike will intensify the cross-regional exchange rate risk contagion in Asia，while its quantitative easing policy will ease the exchange rate risk contagion；on the whole，RMB is still a risk importer，and the source of risk con?tagion is mainly the exchange rate fluctuations of developed economies，including the Korean won，Singapore dollar，and New Zealand dollar。

Key words: LASSO-VAR model；DY overflow index；contagion of exchange rate risk；volatility spillover effect；risk traceability