Purchasing Managers' Index (PMI) published at the beginning of monthly, ahead of other economic indicators, also has simplicity, comprehensive and international comparability, accord with the timeliness requirements of the economic forecasting. This paper using the first quarter of 2005 to 2016 in the second quarter data, based on the indicator of manufacturing industry PMI index with Consumer Price Index(CPI) to analyze Gross Domestic Product(GDP). Using Stata software, through the serial correlation coefficient test, ADF test, VAR model and Granger causality test. It has turn out to be that GDP, PMI and CPI have a long-term equilibrium relationship, PMI index can well forecast economic growth rate, it also ahead of the GDP 3-6 months, and has a positive role in promoting GDP. Compared with CPI index, PMI can more accuracy predict GDP.