Abstract: With daily price of EUA and CER of futures market obtained from Bloomberg International Continental Exchange, the relationship between EUAs futures prices and CERs futures prices was analyzed by Vector Autoregressive Model (VAR), Impulse Response Function and analysis of variance. The results showed that there were interactions existed between two markets. The EUA futures prices showed a significant impact on the changes of CER futures prices in the second phase. In the third phase, the response of the CER futures price to the impact of its own price change was obvious; the change of the EUA futures price still had strong but decreased leading effect on the change of the CER futures price．