Fixed assets investment behavior and macro-economic operation have an important relationship. Based on the statistical data of Shenzhen from 1992 to 2016, the econometric model of GDP and fixed assets investment is established by using the unit root test method, cointegration theory and Granger causality test. It is concluded that there is a long-term stable equilibrium relationship between Shenzhen GDP and fixed asset investment, and there is bidirectional Granger causality. Therefore, it is concluded that the fixed assets investment has promoted the economic development of Shenzhen, but only by innovating the financing channels, optimizing the investment environment and improving the investment quality can the Shenzhen economy develop more qualitatively.