A vector autoregressive (VAR) model is constructed based on the data of industrial producer price index (PPI) and 10-year treasury bond yield. By analyzing the results of the Granger causality test, impulse response, and analysis of variance decomposition, the qualitative and quantitative relationship between China's PPI and the 10-year treasury bond yield is systematically examined. The result of causality test reveals that PPI is the Granger cause of 10-year treasury bond yield, but the 10-year treasury bond yield is not the Granger cause of PPI, thus indicating that PPI has a predictive effect on the trend of 10-year treasury bond yield. Furthermore, the impulse response analysis shows that PPI has a positive effect on the 10-year treasury bond yield. At last, the method for PPI forecast is given, which provides a reference for determining the trend of the 10-year treasury bond yield and bond investment.