In　recent　years,　China＇s　electricity　market　reform　has　entered　a　critical　period,　which　requires　a　breakthrough　in　price　management.　The　two　electricity　price　modes　of　natural　gas　power　generation　and　coal　power　generation　in　Britain　are　relatively　mature　and　can　be　used　for　reference.　Based　on　the　diurnal　data　of　UK　natural　gas,　coal　and　electricity　prices　from　January　2020　to　January　2021,　this　paper　builds　VAR　models　respectively　to　study　the　linkage　effect　between　British　natural　gas　prices　and　electricity　prices,　as　well　as　between　British　coal　prices　and　electricity　prices.　The　results　show　that:　There　is　a　long-term　cointegration　relation　between　natural　gas　price　and　electricity　price,　as　well　as　between　coal　price　and　electricity　price,　and　the　correlations　are　both　positive;　According　to　the　analysis　of　impulse　response　function,　both　natural　gas　price　and　coal　price　have　positive　impact　on　electricity　price.　The　response　speed　of　electricity　price　to　the　change　of　natural　gas　price　is　faster　than　that　of　coal　price,　and　the　impact　period　of　the　change　of　natural　gas　price　is　longer.　Therefore,　there　are　mature　linkage　effects　between　natural　gas　price,　coal　price　and　electricity　price　in　the　UK　respectively,　which　can　reflect　the　market　information　relatively　accurately.　On　the　basis　of　the　comparative　analysis　of　the　linkage　effects　of　the　two　groups,　the　relevant　proposals　for　China＇s　reform　of　power　market　are　put　forward.　©　2022　SPIE.