厘清货币政策传导机制对我国新时期维护金融稳定和防范系统性金融风险具有重要意义。从最初货币政策传导系统的初步形成向市场信息型的转变，再从数量型货币政策向价格型货币政策的转变，我国央行不断通过利率、货币供应量、汇率、资产价格、信贷五个方面的传导渠道，配合多种货币政策操作工具来进行宏观调控，以逐步实现“稳增长”的经济目标。面对新常态下国内经济形势及金融体制的改革，我国迫切需要为当前货币政策的实行营造一个良好的发展环境和渠道。 本文在现有文献研究的基础上采集我国51个宏观经济月度数据指标集，运用TVP-FAVAR模型对我国货币政策五种不同传导机制的有效性进行实证研究。研究将按照理论、方法、实证的主线展开，具体如下：首先，本文通过对国内外学者的文献梳理与评述确定了本文的研究思路及框架，并对五种不同的货币政策传导机制进行理论分析与阐述；其次，本文分别对动态因子模型、FAVAR模型和TVP-FAVAR模型进行了方法概述，为后文的实证研究做理论铺垫；最后，本文选取了从2000年2月至2017年12月的51个宏观经济指标的月度数据来构建宏观经济信息集，利用时变参数增广型向量自回归模型（TVP-FAVAR）分别对我国当前利率、货币供应量、汇率、资产价格和信贷五种不同的传导机制以物价稳定和维持经济稳定增长为最终目标进行有效性的实证研究。 本文通过上述研究共得出三点结论：第一，在五种不同的传导机制中，信贷传导机制最为有效，货币供应量与利率传导机制次之，资产价格和汇率传导机制尚不稳定，波动性较大；第二，当前我国货币政策传导机制均存在短期有效，长期效果不显著的特征，冲击效果的最大值基本出现在2期左右，对于8期和12期的中长期冲击效果几乎为0；第三，我国货币政策传导机制存在一定的滞后性，对居民消费价格指数和工业增加值的冲击反应当期效果并不显著。为提升我国货币政策传导机制的效率，本文得到如下三点政策启示：第一，建立健全我国汇率和资产价格传导机制，逐步完善我国货币政策传导机制，提高传导效率；第二，继续深化利率市场化改革，通过扩大利率的浮动权限、改善利率敏感度、加强对金融机构监管等举措使利率更加精准地反应市场真实变动；第三，合理优化货币政策操作工具，创建新型货币政策调控工具，运用不同的工具组合来实现“稳增长、调结构、防风险、促转型”的货币政策最终目标。

It is of great significance to clarify the transmission mechanism of monetary policy for maintaining financial stability and preventing systematic financial risks in the new era. From the initial formation of monetary transmission policies to market information monetary policies, and from quantitative monetary policies to price-based monetary policies, China's central bank continues to pass through five channels of interest rates, money supply, exchange rates, asset prices, and credit, and cooperates with various monetary policy operating tools to conduct macro-control so as to gradually realize the economic goal of “steady growth”. Facing the reform of the domestic economic situation and the financial system under the new normal, China urgently needs to create a good development environment and channels for the implementation of the current monetary policy. This article collects 51 monthly macroeconomic indicators sets based on the existing literature research, and uses the TVP-FAVAR model to empirically study the effectiveness of five different transmission mechanisms of China's monetary policy. The research will be conducted according to the theories, methods, and empirical main lines. The details are as follows: Firstly, the paper determines the research ideas and framework of the paper by combing and commenting on the literature of domestic and foreign scholars, and makes a theoretical analysis of the five different monetary policy transmission mechanisms. Secondly, this article gives an overview of the dynamic factor model, FAVAR model, and TVP-FAVAR model, which will pave the way for empirical research in the latter part. Finally, this paper selects 51 monthly macroeconomic indicators to construct the macroeconomic information set from February 2000 to December 2017. The time-varying parameter augmented vector autoregressive model (TVP-FAVAR) used five different kinds of current interest rates, money supply, exchange rates, asset prices, and credits. The transmission mechanism is based on an empirical study of the effectiveness of price stability and maintaining stable economic growth as the ultimate goal. An empirical study of effectiveness by using the Time-Varying Parameter Augmented Vector Autoregressive Model (TVP-FAVAR) conducts five different transmission mechanisms for China's current interest rate, money supply, exchange rate, asset price, and credit, with the ultimate goal of stabilizing prices and maintaining stable economic growth. Through the above research, this paper has drawn three conclusions: First, among the five different transmission mechanisms, the credit transmission mechanism is the most effective, followed by the supply of money and interest rates, and the transmission mechanism of asset prices and exchange rates is still unstable. Second, at present, China's monetary policy transmission mechanism has short-term effective, and long-term effect is not significant features. The maximum impact of the impact of the basic appearance in about two. For the medium and long-term impact of the 8th and 12th phase, the effect is almost zero. Third, there is a certain lag in the transmission mechanism of China's monetary policy, and the current response to the impact of consumer price index and industrial added value is not significant. In order to improve the efficiency of China's monetary policy transmission mechanism, this article has obtained the following three policy implications: First, establish and improve China's exchange rate and asset price transmission mechanism, gradually improve China's monetary policy transmission mechanism, and improve conduction efficiency; Second, continue to deepen the reform of interest rate liberalization. Measures such as widening the floating jurisdiction of interest rates, improving interest rate sensitivity, and strengthening supervision of financial institutions have enabled interest rates to more accurately reflect real market changes; Third, rationally optimize the operational tools of monetary policy and create new types of monetary policy control tools. Use different tool combinations to achieve the ultimate goal of monetary policy of “steady growth, structural adjustment, risk prevention, and transformation”.