In view of policy impacts，big volatility and possible structural changes in Chinese short rate，this paper proposes a jumpdiffusionregime switching model，and then uses it to study volatility，jump and regime switch effects in Chinese 7day interbank offered rates，we find there exists not only meanreversion but also jump and regime switch effects in the rate ． The model is much better than any other nested models that only consider two effects． We also find the level effects and ARCH effects in volatility are negligible in highvolatility regime，and the level effects can be omitted in lowvolatility regime． Additionally，the jump exhibits clustering effects． High( low) jump probability and high( low) regime probability are matched with high( low) interest rate and high( low) volatility，jump almost occurs in high regime probability．