According to the law of price transmission, the change of PPI will be transmitted downward to the production of consumer goods through the input-output relationship, causing the change of CPI in the same direction, which is the positive transmission mechanism of PPI to CPI. Changes in CPI will have a certain feedback effect on PPI, leading to changes in PPI in the same direction, which is the mechanism of CPI forcing PPI in reverse. But in recent years, CPI and PPI have diverged in the opposite direction, and the divergence has intensified. The monthly data of CPI and PPI from January 2016 to November 2021 in China are selected to establish VAR model, and granger causality test is used to find that there is Granger cause between CPI and PPI. Through the analysis of impulse response containing function, it is found that there is a certain short-term relationship between the trend of consumer price index and producer price index.