Our guides insisted that this was fog, but my nose said it was some kind of wood or paper burning smell--kind of like what hangs over a campground in the Summer.
It was weaker inside of the hotel and weaker yet inside of our rooms, but never absent. Large metro areas often have air pollution, but the ones I've been too mostly featured the hydrocarbon varieties--diesel soot, gasoline exhaust--that sort of thing. Manhattan was a little of an exception, what with the street vendors cooking out of carts, but this was far stronger.
As we traveled about the city, I saw that people would routinely gather sticks or trash and burn it. It has been cold here, so it may be for warmth, but my in-laws say it always smells like that, so possibly it is just to get rid of refuse.
There are some benefits though: Light rays!