Abstract: In thispaper,With cointegration analysis and Granger causal relation test, the causal relation of coal consumption and GDP of the world main coal consumption countries (China, US, India, Russia, Japan and South Africa) between 1981-2005 has studied in this paper. The conclusions indicate that, the causal relation of coal consumption and economy growth is various as of different energy consumption pattern and economic policy. According to its own energy national condition and the international comparison situation, each country can constitute scientific energy strategies and policies.