Abstract: NARDL approach was used to empirically assess the interest rate pass-through in China, the US, and Eurozone. It is found that China's interbank interest rate pass-through to short-term loan and short-term government bond is similar to that of the US and the Eurozone. But China has lower interest rate pass-through to long-term loan and long-term government bond; some pass-through processes have short-run positive asymmetry. Further study shows that China's spot interbank interest rate's influence on forward interest rate decays very fast, and the pass-through rate of interest rate swap which incorporates interest rate anticipation is relatively high. Hence, besides the factor of interest rate regulation, China's spot interbank interest rate's impact on forward interbank interest rate being relatively small also results in low pass-through to long-term rate. It is suggested that People's Bank of China further reduce the fluctuation of the interbank interest rate, improve its ability to convey the intent of monetary policy, and use forward guidance to increase China's interest rate pass-through.