This paper documents the Great Moderation of China's macroeconomic volatilities during the reform period. Using the conditional Markov chain model, it is found that with the break date at 1995Q1, China's business cycle has changed from the "Boom-bust Cycle" to the "Great Moderation". Evidence from the multiresolution wavelet analysis reveals that a decline in output volatility appears to be evenly distributed across frequencies. These results provide some striking evidence consistent with the potential explanations of good institution, good luck and good policy, but weaker evidence for the good practice hypothesis.