Abstract: The market of Clean Development Mechanism （CDM），as the second biggest integral part of world's carbon market, is developing rapidly. Since CERs （Certified Emission Reductions）trading market is still a burgeoning carbon emission trading market, the related research about price discovery of CERs spot market and futures market has not yet been found. The price discovery mechanism of CERs futures market and spot market is analyzed by applying vector error correction model and common factor model, and the results are validated through applying impulse response function and variance decomposition. The results indicate that there is a long-run cointegration relationship between CERs futures price and spot price; CERs futures price is Granger cause of spot price in the short-run. Based on present data, this paper also draws the conclusion that CERs futures market makes primary contribution to the price discovery, while CERs spot market just makes subsidiary contribution to the price discovery.