As one of the economical means of demand side management, the implementation effect of peak and valley time price is influenced by various factors. This paper analyzes the consequence among the influenced factors from the system and dynamic viewpoint, and builds a peak and valley time price system consisting of six subsystems, which are peak and valley time structure subsystem, user response subsystem, electricity consumption characteristic subsystem, user satisfaction subsystem, power supply profit subsystem and generation profit subsystem. On this basis, a system dynamic model of peak and valley time price is established. At last, computer simulations preliminarily prove the correctness of the established model. The establishment of the proposed model can provide the useful technique support for further establishment and implementation of peak and valley time price policies.