In early 2013, Beijing and even the whole country of china appeared the haze weather and PM2.5 problem, environmental problems caused widespread attention again. The latest research of "Atmospheric haze tracking and control" special group of CAS results that: coal and motor vehicles are the main cause of the strong fog haze weather. For China, the coal is the primary energy in China accounted for the largest. Along with the energy-saving emission reduction as a major national policy background, the analysis of coal consumption market has increasingly aroused the attention of scientific researchers, and become the hotspot of relative research recent years. In order to solve the problem, this paper takes Shaanxi Province as an object of study, which is one of three major coal producing regions. On the basis of analyzing the core factors affecting extraction coal demand, establish VAR model and BVAR model of coal consumption. Finally, by comparing the three kinds of results of two model prediction, using BVAR model predict the coal consumption in Shaanxi in 2020 will reach 175792800 tons of standard coal.