Abstract: In recent years， the rapid decline in the trend of private investment and the quick expansion of the gap between the private and the state-owned investment have caused widespread concern among the whole community. From the perspective of main investment structure， the research using TVP-VAR model found that all three types of investment are strongly influenced by their own impact. The state-owned investment has a crowding-out effect on private investment in the short term， but in the long run it is a crowding-in effect. The spillover effect of foreign investment is just the opposite. The short-term crowding-out effect of state-owned investment and the weakening of confidence in private economic sectors are the important reasons for the sharp decline in private investment， which needs the introduction of predictable long-term incentives and the real improvement of the market， the legal system and the financial environment， to promote the healthy development of private investment.

Key words: state-owned investment, private investment, spillover effect