Abstract: By selecting the proxy variables of economic policy uncertainty and main interest rates of interbank market and bond market from 2002 to 2019, this paper uses MS-VAR model to explore the dynamic impact mechanism of economic policy uncertainty on interest rate markets. We've drawn the following conclusions. Firstly,economic policy uncertainty is"inevitable"and will have a negative impact on businesses, residents and financial markets. Secondly, when economic policy uncertainty appears or increases, the main interest rates in the interbank market and bond market generally decline. Interest rates with longer maturities fall more sharply, and the negative feedback effect of interest rates during the financial crisis is more obvious. Thirdly, the uncertainty of economic policies leads to the rise and then fall of the interest rates on treasury bonds and corporate bonds with shorter maturities. And when economic development is stable and policy expectations are clear, negative shocks are easily absorbed by market themselves. This study focuses on the economic policy uncertainty and interest rate markets, and provides important references for policy authorities, investors and other market entities.