We characterize the joint dynamics of a large number of macroeconomic variables and Treasury yields in a dynamic factor model. We use this framework to identify a yield curve news shock as an innovation that does not move yields contemporaneously but explains a maximum share of the forecast error variance of yields over the next two years. This shock explains more than half, and along with a contemporaneous shock to the level of the yield curve, essentially all of the variation of Treasury yields several years out. The news shock is associated with a sharp and persistent increase in implied stock and bond market volatility, falling stock prices, and a persistent decline of real activity and inﬂation. This is followed by an accommodating monetary policy which is also reﬂected in persistently lower expected future short rates. Treasury yields do not react contemporaneously as term premiums and expected short rates move in opposite directions. Identiﬁed ﬁnancial market uncertainty shocks imply essentially the same impulse responses and are highly correlated with the yield news shock. Our results thus suggest that uncertainty shocks act as unspanned or hidden factors in the yield curve.