We build a model of bond yields in an economy with secular changes to inflation, real rate, and output growth. Long-run restrictions identify nominal shocks that do not influence the long-run real rate and output growth. Before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation. This led to a higher and steeper yield curve because the short rate was expected to peak after several quarters, following declines in the responses of growth and inflation. With inflation anchored, nominal shocks have small impacts on inflation, output, and bond yields, mostly via the term premium.