Abstract: In this paper,using monthly data from 2000 January to 2013 March,by the Unit Root Test and Granger Causality Tests analyze the relationships between international oil price and domestic coal price,the result is international oil price and domestic coal price have no causal relationship,and the relationship is low.But using VAR Model and Impulse Response Function analyze the relationships among international oil price、international coal price and domestic coal price,international oil price、domestic oil price and domestic coal price,the results show that:International oil price can influence domestic coal price by influencing international coal price,when international oil price rises 1%,domestic coal price will rise 0.0088%,and the effect will last for 18months;At the same time,international oil price can also influence domestic coal price by influencing domestic oil price,when international oil price rises 1%,domestic coal price will rise 0.0074%,and the effect will last for 10months.