Abstract: This paper discusses the short-period volatility, long-period volatility and the long-term trend of structural features of China's interest rate, exchange rate and stock market. The results show that mutual mean and volatility spillover have significant effect between interest rate and stock market; the asymmetric influence of interest rate and stock market on exchange rate is obvious and significant. There are significantly conductivity in these markets, and the impact on the direction and intensity are different, in the long-period trend, spillover effects of exchange rate to the stock market volatility is more persistent. In order to avoid the risk of financial markets affecting macroeconomic performance, we should pay close attention to market volatility, and the monetary policy should focus on the long-term trend under effective regulatory framework, identify the market volatility efforts and persistence appropriate regulation, then regulate and control appropriately.