International co-movements in inflation and interest rates have been separately documented by numerous empirical studies. In this study, we bridge the gap by investigating common natures that simultaneously generate these international co-movements. To this end, we estimate a high-dimensional dynamic common factor model of national inflation rates and short- and long-term bond yields. The results based on 30 OECD countries' data indicate two macroeconomic factors that have linked the two global macroeconomic co-movements for the past two decades. One is the global real activity, and the other is the global inflation fluctuations that are orthogonal to commodity prices.