Abstract: We construct a factor-augmented vector autoregressive model with time-varying coefficients, stochastic volatility and heterogeneity index, to study the heterogeneity of China's monetary policy shocks based on six economic fundamentals from purely quantitative perspective.It is found that, firstly, there is no absolute heterogeneity existing in monetary policy shocks, but a variable heterogeneity for different aims; secondly, The monotonicity and volatility of the time dimension makes a big contribution to the heterogeneity of monetary policy shocks, but the outlier and volatility of response dimension would not cause the heterogeneity of monetary policy shocks; thirdly, the heterogeneity of monetary policy shocks on financial market is the smallest, and the biggest on public economy, relatively bigger on output and employment, relatively smaller on inflation and private economy.

Key Words: Monetary Policy Shock; Heterogeneity; SV-TVP-FAVAR; Time Dimension; Response Dimension