Abstract: Thermal coal is the dominant part of coal in China.Thermal coal price not only accurately reflect the change of coal price,but also has significant impact on economic growth.The paper analyses the dynamic relationship between economic growth,domesticsupply,tradedependency,oil price and thermal coal price,based on VAR model and Cointegration.The results show that there is an long-term and cointegration relationship between five factors.Economic growth,domestic supply and oil price are strong Granger cause of thermal coal price,while trade dependency's effect is not significant.The impact of oil prices is greater than economic growth and domestic supply,and the impact of trade dependency is minimal in short run.the impact of economic growth is increasing,oil prices and domestic supply reach peak quickly and then decline slowly,trade dependency's effect grows slowly in the long term.So we should transform economic growth mode,eliminate backward production capacity,changes the industrial structure,to inhibit price volatility,and increase the size of the thermal coal imports in order to slow the consumption of domestic resources and promote the healthy development of domestic thermal coal industry.