Based on distinguished financial indexes' structured characteristics of bank sectors,security sectors,exchange sectors and insurance sectors,this paper constructs a timely Financial Stress Index in order to distinguish the stress of China's financial system; studying the regime characteristics of the stress between 2001.01 and 2012.08 with MS-VAR. The empirical results show that: there is significant difference for Chinese financial condition during different years. Financial stress has significant upward trends and downward trends,that is it exists distinct two-regime volatility characteristics. The negative correlation between financial stress and macroeconomics is high and has an increasing trend. Though Chinese Financial Stress Index has an upward trend since the second half of 2012,the financial stress will run in the low-pressure regime with higher probability. As a whole,the financial running situation is good in China. <<