Based on the coal price monthly data from January 2005 to March 2016, we use the H-P filter to analyze the period of coal price fluctuations. The results show that price continued growth from 2005 to 2011, price has continued to decline since 2012; and cyclic fluctuations about within plus or minus 10%, from the third quarter of the year to next year's third quarter shows "open downward parabola". Then, we apply the nonlinear autoregressive distributed lag (NARDL) model to study the asymmetric transmission effect of the international coal price on the Chinese coal price, discovered the existence of a short-term relationship between Chinese coal asymmetric price and international coal price, namely the effect of international coal price decline on Chinese coal price is far greater than the rise; In the long term, the international coal price has no effect on the domestic coal price, which shows that the coal energy market has been basically realized and provides a scientific basis for the future development of the coal industry.