With China's strong support for innovation and development, the policies of government guidance funds are an important driving force for leading innovation and economic transformation, and the effect of its related policies is of great significance. This paper selects 518 policies related to government guidance funds in the Beijing–Tianjin–Hebei region from 2005 to 2018 as the research object and constructs a policy efficiency evaluation indicator system from three dimensions of policy intensity, policy objectives and measures. The analytic hierarchy process (AHP) and entropy method are used to weight the output level of policy innovation performance and economic performance of government guidance funds, and grey relational analysis (GRA) is used to measure the relationship between policies of government guidance funds and innovation performance and economic performance, and corresponding policy recommendations based on the research results. The results of the research show that the policy efficiency of the government guidance funds in Tianjin and Hebei is relatively high, and the policy efficiency of the Beijing government guidance funds needs to be improved. In general, the policy efficiency of the government guidance funds needs to be further improved.