Based on the theory of price overadjustment and Pigou wealth effect, this paper first analyzes the dynamic mechanism of monetary policy on CPI from the theoretical level. It is found that the increase of money supply will not only directly increase CPI, but also indirectly affect CPI through the overshoot effect of asset prices. Secondly, markov zone transfer model is further introduced to analyze the zone system of monetary policy. Finally, TVP-SV-VAR model and NARDL model are used to measure the dynamic influence relationship of monetary policy on asset price and CPI from the perspective of time variation and asymmetry. The results show that: first, monetary policy has obvious characteristics of two zones of expansion and contraction. Second, in the short run, monetary policy has an overshoot effect on asset prices compared with CPI, while in the long run, monetary policy indirectly affects CPI through the Pigou vian intermediary effect of asset prices. Thirdly, monetary policy has asymmetric effects on both asset prices and CPI. The effect of expansionary monetary policy is smaller than that of contractionary monetary policy. Meanwhile, asset prices also have asymmetric effects on CPI, and the "loss aversion" effect is obvious.