The key to keeping the bottom line of no systemic financial risk lies in macro monetary policy and micro banking system. Under the background of RMB internationalization, based on the bank risk-taking channel of monetary policy and the unbalanced dynamic panel data of 17 banks, this paper empirically tests the intermediary effect of onshore and offshore RMB interest rate linkage in the transmission mechanism of bank risk-taking of monetary policy by constructing an intermediary effect model. It is found that loose monetary policy improves the level of bank risk-taking. Interest rate linkage plays a complete intermediary effect in the bank risk-taking channel of loose monetary policy, but it shows significant heterogeneity in terms of term, channel and micro characteristics. The research conclusion provides useful enlightenment for comprehensively investigating the core logic of monetary policy affecting bank risk-taking through interest rate linkage effect, monitoring and warning the level of bank risk-taking under the impact of interest rate linkage in real time, and properly solving the “big but can not fall” risk.