This work project examines the effect of certain macroeconomic variables on the yield of government bonds. By using time series data on the weighted average of government bond yields for the 27 member states of the European Union, this research employs a Vector Error Correction Model (VECM) to uncover both short- and long-term relationships. Variables under considerations are inflation, money supply, the market interest -, the exchange - and the unemployment rate. An impulse response functions and forecast error variance decomposition analysis concludes the work to examine the significance and persistence of these effects over time.