This paper empirically studied the volatility of monetary policy in China by Markov regime-switching models and GARCH models. Furthermore, it studied the macroeconomic effects of price-oriented and quantitative monetary policy volatility based on the time-varying parameter vector autoregressive model. The results show that, there is significant difference between different stages about the influence of the monetary policy volatility on macroeconomic target variables. And when monetary policy volatility is severe，its spillover effect on economic growth and inflation obviously weakened，even a negative impact on the macroeconomic target variables. Thus, maintaining the stability and continuity of monetary policy not only improves its effects of macro adjustments, but also guarantees the moderate speed of economic growth and the promotion of structure's upgradation and transformation.

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