At the quarterly frequency from 1968 through 2012, shocks to expected average inflation over a bond’s life account for between 10 to 15 percent of shocks to nominal Treasury yields. Shocks to real rates and term premia account for the reminders. Evidence from 1999 through 2012, when TIPS are available, suggest there is little difference between nominal and real term premia. Therefore nominal yield shocks are almost entirely real yield shocks. Efforts to link yield shocks to economic activity shocks or inflation shocks are not particularly successful.