In this paper, the China Yuan was not completely free convertibility, application of bayesian vector autoregressive (BVAR) model test analysis of 2005-2011 China adopted a managed floating exchange rate regime period, the effectiveness of monetary policy.The results show that the money supply affect prices and output are not significant, but short-term loan interest rate has a negative effect on the price and output.Therefore, this paper thinks in a managed floating exchange rate system of monetary policy is effective, is the "price" of monetary policy effect is greater than the "quantity" effect.Therefore, in order to maintain economic sustainable development, China should continue to enlarge the floating range of RMB exchange rate, enhance the flexibility of the exchange rate, at the same time, accelerate the process of China's interest rate marketization.