Abstract:The relationship between financial structure and industrial structure has been a hot topic in academic circles. Based on the annual data of China from 1998 to 2017, this paper constructs the seemingly unrelated regression model (SUR) to analyze the influence of financial structure on the rationalization and upgrading of industrial structure from the perspective of financial structure scale, efficiency and deepening and builds Time-varying Parameter State Space Model(TVPSS) to describe the dynamic impact of financial structure on the rationalization and upgrading of industrial structure. The empirical analysis results as follows:1) The scale of financial structure improves the rationalization level of industrial structure and promotes the upgrading of industrial structure. The efficiency of financial structure improves the rationalization level of industrial structure and inhibits the upgrading of industrial structure. The deepening of the financial structure reduces the rationalization level of the industrial structure and promotes the upgrading of the industrial structure.2) The impact of the scale, the efficiency, and the deepening of financial structure on the rationalization and upgrading of industrial structure presents time-varying characteristics. The influence of financial structure on industrial structure lags behind that of industrial structure upgrading.3)The impact of financial structure on industrial structure presents a large fluctuation in the early stage and a relatively gentle state in the later stage, and the dynamic impact of some financial structure variables on industrial structure shows a "long tail" phenomenon. The current financial structure in China is no longer suitable for the current industrial structure, so it needs to adjust the financial structure to improve the level of rationalization and upgrading of the industrial structure.