This paper, aiming at the relation between energy consumption and economy, selects inflation, capital stock, labor, R & D expenditures of World Bank and the electricity, coal, oil and natural gas consumption of U.S. Department of Energy as sample data, uses the dynamic panel model with the concept of exergy from thermodynamics to calculate the economic effect of four kinds of energy consumption exergy in 19 nations from four regions. The variables which have significant effect on economy are capital stock, coal, electricity and natural gas. For Argentina and Colombia, the variables are exergy consumption of coal and natural gas. For Europe, the variables are capital stock and inflation, the exergy consumption of coal, electricity and natural gas. For China and India, variables are only the exergy consumption of the gas. Based on a case study on China, this paper explains the effect of exergy to economy and aims to offer references in the sustainable economic growth through efficiently using energy.