Based on the quarterly data of China from 2001 to 2016, this paper established three sets of equations covering the effect of output, price and structure and investigated the impact of two-way opening of financial industry on the effectiveness of the monetary policy. The results show that the impact of two-way financial openness on the monetary policy effectiveness is asymmetric. In terms of output effect, in addition to out-oriented openness significantly strengthening the output effect of interest rate, two-way financial openness weakens the output effect caused by the money supply and exchange rate. In the price effect aspects, out-oriented openness significantly weakens the price effect of interest rate and strengthens the price effect of money supply and exchange rate. Inner-oriented openness has insignificant effect on the price effect of money supply, interest and exchange rate. In the structure effect aspects, in addition to inner-oriented openness insignificantly impacting on the structure effect of interest rate, two-way financial openness strengthens the structure effect caused by the money supply and exchange rate.