Air pollution is one of the major environmental problems that endanger human health. The COVID-19 pandemic provided an excellent opportunity to investigate the possible methods to improve Beijing’s air quality meanwhile considering Beijing’s economic impact. We used the TVP-VAR model to analyze the dynamic relationship among the pandemic, economy and air quality based on the daily data from 1 January to 30 August 2020. The result shows that the COVID-19 pandemic indeed had a positive effect on air governance which was good for human health, while doing business as usual would gradually weaken this effect. It shows that the Chinese authority’s production restriction effectively deals with air pollution in a short period of time since the pandemic is just like a quasi-experiment that suddenly suspended all the companies. However, as the limitation stops, the improvement decreases. It is not sustainable. In addition, a partial quarantine also has a positive impact on air quality, which means a partial limitation was also helpful in improving air quality and also played an important role in protecting people’s health. Second, the control measures really hurt Beijing’s economy. However, the partial quarantine had fewer adverse effects on the economy than the lockdown. It is supposed to be a reference for air governance and pandemic control. Third, the more the lag periods were, the smaller their impact. Thus, restrictions on production can only be used in emergencies, such as some international meetings, while it is hard to improve the air quality and create a healthy and comfortable living environment only by limitation in the long-term.