In this study we investigate the yield curve forecasting performance of Dynamic Nelson-Siegel Model (DNS), affine term structure VAR model (ATSM VAR) and principal component model (PC) in Turkey. We also investigate the role of macroeconomic variables in forecasting the yield curve. We have reached numbers of important results: 1-Macroeconomic variables are very useful in forecasting the yield curve. 2-The forecasting performances of the models depend on the period under review. 3-Considering the structural break which associates with change in monetary policy leads models to produce better forecasts than the random walk. 4-The role of exchange rate should not be ruled out in forecasting the yield curve in an emerging market like Turkey. (C) 2013 Elsevier B.V. All rights reserved.