What is the movement of air called?

The movement of air is called wind. Wind is caused when cool air moves in and tries to overtake warmer air.

Wind happens due to the uneven heating of the Earth by the sun. As the sun heats the earth the warm air over the land rises and the land heats up faster than water. Cool air tries to take over, causing the warm air to rise to the top because it is less dense. At night, the winds behave a little differently. The air over the land cools more rapidly than it does over the water, therefore, the winds are reversed.

Wind is different over water and land and can act differently in different parts of the world.