Macroeconomic shocks account for most of the variability of nominal Treasury yields, inducing parallel shifts in the level of the yield curve. We develop a new approach to identifying macroeconomic shocks that exploits model-based empirical shock measures. Technology shocks shift yields through their effect on expected inflation and the term premium. Shocks to preferences for current consumption affect yields through their impact on real rates and expected inflation. For both shocks, the systematic reaction of monetary policy is an important transmission pathway. We find little evidence that fiscal policy shocks are an important source of interest rate variability.