Abstract: The paper selected Shanxi coal price index and economic variables, building VAR model after cointegration test, using impulse response function and variance decomposition method, has carried on the empirical analysis of coal price fluctuation on economic variables. The results showed that: (1) there is a cointegration relationship between coal price index and economic variables in Shanxi Province;(2) In the forecast period, the coal price fluctuations positively impact on CPI and PPI in short-term and long-term; impact on GDP in short-term positively and a long time negatively；(3) From the degree of impact caused by the coal price fluctuation, the degree of impact on PPI is the largest, followed by the CPI, minimal impact is GDP.

Key words: coal price fluctuation, cointegration test, VAR model, impulse response function, variance decomposition