What will happen if a dependent voltage source in parallel with a dependent current source?
There's no problem at all with connecting a voltage source and a current source in parallel. 

The current source just increases or decreases the amount of current the voltage source has to supply to drive its output to its defined output voltage.

This is true whether the sources are independent or dependent types.

In your circuit, the problem is that you have the output of the VCVS being across the exact same terminals as its controlling input. The voltage \$V_{ab}\$ can't be simultaneously V2 and V2/5000 at the same time. 

There is a trivial solution \$V_2=0\$, but if you wanted a short circuit between a and b, you should have just drawn a short circuit there.