Abstract: Based on panel data of China central and western provinces from 2003 to 2016, this paper constructs a VAR model of coal consumption, economic growth and haze pollution to study their dynamic effect. Through using GMM, impulse response function and variance decomposition, we found that the response of haze pollution to coal consumption is negative in the short term and positive in the long term. The response of economic growth to coal consumption is positive in the short term and negative in the long term. Economic growth plays a strong role in explaining coal consumption. Haze pollution is more affected by coal consumption and less affected by economic growth.