The forecast ability of term structure is tested in this paper with the data of interbank treasury yield curve of Chinabond. The results show that there are positive relationships between term structure and the changes of future macro economy, i.e. GDP, consumption, production and inflation, which is similar with the studies of the developed countries. The term structure can predict the mid-term economic growth well, even considering the effects of monetary policy and another leading indicator. With the regression results, the out-of-sample predictions show a lower and decreasing growth rate in the next two years, implying greater challenges to the policy-makers.