Do economic activities cause air pollution? Evidence from China’s major cities

•The relationship between economic activities and air pollution in China is investigated.•The PM2.5 and Air Quality Index of 73 key cities are used to measure air pollution level.•The VECM model, impulse response function and variance decomposition are used.•A unidirectional causality between PM2.5 concentrations and economic activities in the long run exists.•There is a bilateral causality between Air Quality Index and the other variables.