This paper investigates how the finance sector affects the innovation of the real economy sector. Firstly we build a mathematical model to analyze the influence mechanism of the finance sector on the innovation sector. Then we use the provincial datum to test the theory results. The model shows: the finance sector has main body function effect and grabbing effect which are two opposite influences on the real economy. The main body function effect can improve technological innovation with the screening mechanism, monitoring mechanism, risk diversifying mechanism, etc. The grabbing effect may impede innovation by partitioning the interest of the real economy. The test of the provincial datum shows: the mobilizing capability and allocating capability of the finance resource reflect the main body function capability, profitability of financial institution reflects the grabbing capability. The rise of the mobilizing capability of the finance resource may improve the risk inclusion of the finance system, the grabbing capability of financial institution may significantly hinder the low level innovation activities, and the rise of the allocating capability may lead more support to low risk innovation. The research also finds: the East China has sufficient finance resource, while the finance sector has more market power and more grabbing capability. However, the finance resource is scarce and the financial infrastructure is weak in Midwest China, so the marginal return of the main body function capability is in the increasing phase. To construct the finance system in Midwest China we should emphasize infrastructure investment and improve the main body function capability. Yet in East China we should emphasize market reform, properly weaken the market power of finance institutions and restrain their grabbing capability.