Abstract：In the context of separate supervision on the financial industry, the release of China's financial marketization reform policies is often independent. As a result, the cross-market transmission of them is always lack of overall consideration. By constructing the TVP-VAR model, this paper identifies the cross-market transmission mechanism of reform policy information on the currency market, foreign exchange market, stock market and bond market. It is found that the mechanism is moving closer to the theoretical way and tends to be stable with the overall improvement of China's financial marketization. This means that the marketization is not in conflict with the government's control, but it is necessary to identify the macro-impact before the financial market reform policy is put forward, in case of procyclical fluctuation among different sub-markets.

Keyword：financial marketization reform; information transmission mechanism; financial regulation