Based on a five-factor financial condition index including interest rate, exchange rate, housing price, share price and money supply, this paper makes a predictive information test on it and builds a nonlinear interest rate rule based on nonlinear smooth transition model, with the financial variables which are characterized by prudence factors incorporated into the monetary policy rules. The results show that prudential policy rule considering the financial factors not only could describe the linear adjustment of policy in most time, but also could capture the time-varying operating behavior of monetary authority, compared to traditional nonlinear interest rate rule, which indicates it’s more conformable with China’s reality.