Multivariate regression analysis of investment, consumption and net export of China during 1981-2005 finds that the investment rate is high in economic growth of China but investment efficiency is low, that consumption efficiency is high but consumption rate is low and that the economic dependent rate on foreign countries is high but driving rate of net export as a whole is small, As a result, the investment structure should be definitely adjusted, the income and distribution should be reasonably adjusted to improve consumption efficiency and to improve and optimize export structure.