To answer the liquidity problems that frequently occur in Chinese banking system since 2013, understanding the mechanism of liquidity creation on the dynamic adjustment of bank interest rates is an important micro basis for the transformation of monetary policy in China. This paper studies how liquidity creation affects the dynamic adjustment of bank interest rates to market interest rate and its anticipation, considering the problem of so-called omitted variable that may result from ignoring anticipated market rate. The results show that liquidity creation has negative influence on the dynamic adjustment of bank interest rates, and after considering liquidity creation, the transmission of market rate to deposit rate is relatively low. The effects of liquidity creation on the dynamic adjustment of bank interest rates are heterogeneous, and result in the failure of market rate transmission being mainly reflected in state-owned and joint-stock banks. In addition, anticipation could improve the short-term transmission of market rate to some extent, but not fundamentally correct the failure of long-term transmission. In the influence mechanism of liquidity creation on the dynamic adjustment of bank interest rates, net interbank lending has a partial mediating effect, which further verifies that the reason for the heterogeneous transmission of market rate lies in the external financing constraint effect of liquidity creation in the interbank market. Our funding could shed lights on how to improve the effectiveness of market interest rate transmission and cross-cyclical monetary policy regulation in China, by merging dual-track deposit rates into one-track, strengthening anticipation management and improving the participation of smaller banks in the interbank market.