With the method of SVAR, this paper selects Shanghai Citys financial structure and time-series data of measuring the development of high-tech industry from 1995 to 2012, and uses the impulse response and variance decomposition to make an empirical analysis on the dynamic relationship between financial structure and the development of high-tech industry. The results show that, there exists time-delay for direct financing （Shanghai City's market-oriented financial structure） and indirect financing （bank-oriented financial structure） on the development of high-tech industry in Shanghai City, and both of them do not play a role in long-term stable support. In the delay period, the direct financing ultimately has a positive effect，but overall the negative effect is greater than the positive effect while the indirect financing has a positive effect all the time.