Through the infinite state of time-varying dynamic factor model，based on high dimensional index system of financial variables，this paper estimates the financial conditions index in our country. Results show that our country financial conditions index has been undertaking the impact of the financial crisis，and has passed the digestion phase of stimulus. Since 2011，under the steady monetary policy guidance，after the process of weak callback，the financial conditions have been in stabilized situation in late 2014. At the same time，along with the recovery of the world economy，the external impact of the financial condition which is not conducive to China is also gradually weakened. The first 10 months of the prediction results show that before the end of 2015，China’s financial conditions index is still in short-term shocks iterative process during the recovery.