This article uses the Markov Regime Switching Jump-Diffusion model, and is based on the data of Mainland China and Taiwan offered rates spanning from 2006 Q4 ~ 2013Q2 to study the term structures of interest rates. From empirical analysis, we find that the Markov Regime Switching Jump-Diffusion model performs well in the fitness of the term structure of interest rate process. Also, the estimated parameters reflect that there exist characteristics of jump process, moment matching and volatility clustering features in the term structure of interest rate process. Finally, our empirical study supports that a deeper degree of interest rate liberalization, the inter-bank interest rate and bond markets jump more closely, which shows a more effective transmission of monetary policy.