Based on the theory of equilibrium credit rationing and the shadow banking system, the paper theoretically analyzes the impact of the shadow banking system on the implementation of monetary policy. The paper uses the structural vector autoregressive (SVAR) model and verifies the impacts on account of monthly data of China from 2007 to 2015. The results show that the liquidity supply of different types of shadow banking weakens the credit rationing which is dominated by commercial banks in different degree. When the central bank adopts an easy monetary policy,the shadow banking system has a positive effect on the economy and plays a positive role in promoting the implementation of easy monetary policy. Moreover, the shadow banking system has a significant stimulus effect on the economy under tight monetary policy and significantly inhibits the implementation of tight monetary policy to the economy. Compared to easy monetary policy, the shadow banking system makes a higher contribution to the economy under tight monetary policy and has more significant impact on the implementation of tight monetary policy.