With　the　background　of　the　government＇s　DE-leveraging　policy,　the　central　bank　has　created　macro-controls　for　the　capital　markets　by　formulating　different　monetary　policies　during　different　economic　cycles　in　recent　years.　Unfortunately,　in　existing　research　results,　scholars　have　usually　only　measured　the　effects　of　monetary　policy　based　on　the　response　of　the　stock　market　to　the　monetary　policy　during　that　same　period.　Therefore　this　article　makes　a　time-varied　analysis　of　the　specific　impact　of　monetary　policy　by　using　the　TVP-VAR　model.　At　the　end　of　the　paper　get　the　following　conclusions:　The　impact　of　money　supply　on　cyclical　share　price,　when　the　economic　cycle　going　up,　the　impact　is　negative,　when　the　economic　cycle　going　down,　the　impact　is　positive;　The　impact　of　money　supply　on　non-cyclical　share　price　is　positive;　The　effect　of　interest　rates　on　cyclical　share　prices　depends　on　the　proportion　of　stock　price　bubbles　is　negative;　The　effect　of　interest　rates　on　non-cyclical　share　prices　depends　on　the　market　expectations　is　positive.　©　2020　IEEE.