This paper mainly describes the fluctuation characteristics of China's financialization by analyzing the comprehensive index of economy financialization, and studies its impact on China's macro‐economy. The research results show that the fluctuation of financialization has obvious regional characteristics and asymmetry. The impact of financialization affects both the output gap and inflation. The short‐term impact of financialization will cause the product gap to increase and the inflation to increase, which will have a certain inhibitory effect in the long term. The price impact is even more pronounced.