Farmer’s entrepreneurship is the effective way to increase farmers’ income and narrow the income gap between urban and rural areas, it is also the important means to promote the national economy.Because of the importance of financial support for farmer’s entrepreneurship, this paper uses Vector Auto-regression Model(VAR) to study the relationship between entrepreneurship of farmers and financial support based on the data from 1992 to 2011.The result shows that entrepreneurship of farmers is the Granger reason of the financial support, financial support is not the Granger reason of farmer’s entrepreneurship.There is a long-term stability of correlation between farmers’ entrepreneurship and financial support. This paper finally concentrates on market failure of financial support for farmer’s entrepreneurship and proposes several corresponding policy suggestions including meeting financing demand of farmers’ entrepreneurship projects by breaking financial constraints; perfecting the relevant financial laws and regulations to support entrepreneurship of farmers through the reform of financial supply structures so as to improve the external environment of farmers’ entrepreneurship and government’s considering lag phenomenon when making macro policies in order to prevent overly aggressive intervention and control.