This paper analyzes the impact of the digital economy on the mechanism of interest rates setting from three perspectives. First，the current high interest rate in China could be regarded as a proof of the low efficiency of financial intermediaries. In the context of the digital economy，financial intermediaries would rely on FinTech and BigTech to improve efficiency，reduce transaction costs，and achieve the goal of lowering interest rates ultimately. Second，as the real interest rate anchor for price-based monetary policy，the natural interest rate is fundamental in policy rates formulation. The digital economy has an all-round impact on the natural rate in money supply-demand equilibrium. Third，the reform of the international benchmark rate in recent years would have a profound influence on global financial market，but there are still deficiencies in new benchmark rate setting mechanism. The digital pricing technology used in credit risk measurement could compensate for the missing part in rate setting，machine learning technology contributes to plotting the interest rate curve，and the prevalence of central bank digital currency could mitigate the effects of US dollar exchange rate shock on peripheral countries.