Abstract: According to the guide relationship between the vegetable varieties to carry out market regulation or warning, it is an effective way of warning. Based on the Beijing wholesale market data, it researched the prices guiding relationship of 9 higher changing correlation vegetables, cucumber, tomato, cabbage, potatoes, eggplant, pakchoi, cauliflower, chili, zucchini, etc., and establishing VAR (vector auto regression model) model, using Granger causality test, impulse response function and variance decomposition to analyze and deliberate. The results showed that, there was at least one- way Granger causality between nine kinds of vegetables prices. The prices change impulse of cucumber, pakchoi and zucchini, can cause obvious response to other varieties. At the case of ignoring their own contribution rate, cucumber prices changes contributed the highest to other varieties, moreover lasting longer, which contributed more than 40% to eggplant prices, chili prices, potato prices, zucchini prices. Zucchini prices changes had higher contribution rates to the prices of eggplant, potato, and chili, and the highest to 22%, 19.83% and 16.17%.