The　progressive　development　of　the　integrated　energy　system　and　the　continuous　reform　of　the　electrical　markets　will　lead　to　a　gradual　diffusion　for　the　multi-energy　coupling　from　the　physical　level　to　the　market　level.　This　gradual　transformation　will　impose　serious　market　challenges,　and　hence,　proper　pricing　methods　for　integrated　energy　systems　form　one　of　the　most　essential　requirements.　This　paper　proposes　a　two-stage　iterative　clearing　mechanism　of　an　integrated　electricity-heat-gas　market　considering　integrated　demand　response　(IDR).　A　market-clearing　optimization　model　of　an　integrated　electricity-heat-gas　system　based　on　the　generalized　locational　marginal　price　(GLMP)　is　established　for　the　first　stage　of　market-clearing.　Furthermore,　GLMPs　are　decomposed　to　analyze　the　influencing　factors　and　correlation.　For　the　second　stage,　the　elastic　coefficient　is　utilized　to　model　IDR,　which　includes　the　single　energy　demand　response　and　the　multi-energy　alternative　demand　response.　The　load　curves　are　acquired　after　an　integrated　demand　response,　and　the　two　stages　are　iteratively　executed　until　the　load　change　is　less　than　the　threshold　value.　The　proposed　mechanism　is　verified　on　a　test　case.　The　decomposition　results　of　GLMPs　are　elaborated,　and　the　numerical　results　show　that　the　clearing　mechanism　considering　elastic　load　can　reduce　price　spikes　and　the　cost　of　purchasing　energy.　©　2022　Author(s).