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Purpose - This paper aims to examine what the term structure of interest rates tells us about future inflation in Vietnam. Besides, the relationship between the term structure of nominal interest rates and real interest rates is indicated. Design/Methodology/Approach - This research utilizes the OLS method and Monte Carlo simulation with monthly data of Vietnam government bond yields, market interbank interest rates, and inflation rates over 2009-2019. Findings - The ability to predict inflation from the term structure of interest rates is relatively weak at short horizons but stronger at long horizons. The term structure of nominal interest rates contains no information about the term structure of real interest rates. Research limitations/implications - The sample size is comparatively small. Furthermore, the reason for the discrepancy in the ability to forecast inflation of the term structure of the short- and long-term interest rates is not clear. Practical implications - The information about the term structure of interest rates could be used as a reference for monetary policies. Originality/value - Inflation forecasting, nominal interest rates, real interest rates, term structure. Paper type Research paper