The co-integration test and Granger-Cause test are used to compare and analyze the effects of main transmission channels of Chinese monetary policy during 1994-2008. The result shows that credit channel and monetary channel play mutual role but the credit channel plays a major role and that, as aided and supplementary mechanism, interest rate and exchange rate are existing. Further, this paper analyzes the reasons for that Chinese monetary policy produces the difference and provides the suggestions for improving the monetary policy conduction effect.