This study investigates the dynamic causal relationship between financial development and energy consumption. This paper begins with the researches on economic growth & financial development and economic growth & energy consumption, and then gives theoretic basis and the necessity of the research. Based on CobbDouglas production function, empirical research model is deduced. The longterm correlation and shortterm dynamic relationship between financial development and energy consumption is studied using ARDLECM Model. The study shows that there is longterm, positive, balanced relationship between financial development and energy consumption in the long run, i.e. financial development and energy consumption promote each other. However, energy consumption has greater impact on financial development. From the perspective of the shortterm dynamic relationship between variates, present financial development can enhance present energy consumption, but reduces energy consumption growth in following 1 or 2 years; while present energy consumption can affect present financial development only, and there is no delay effect. This paper provides new mindset and research basis for better understanding financial development and energy consumption.