Abstract: The objective of the paper is to analyze the relationship between private saving and some variables affecting the macroeconomy in Sudan. For this purpose, the Vector Auto Regression (VAR) model was applied to estimate the interrelationship. The results of the estimated (VAR) model revealed that the coefficient of consumption at first lag is statistically significant to influence the current consumption positively. Also, consumption and investment at first lag are statistically positively associated with current investment. Accordingly, the results showed that consumption and private saving at first lag are statistically positive connected with current private saving and consumption.