This paper investigates the impact of macro variables on the volatility of bond returns. Using the principal components analysis, we extract the “real” and “money” factors from the real activities and monetary variables, respectively. Following Campbell, Lettau, Malkiel, and Xu (2001), we decompose the bond volatility into market-level volatility and maturity volatility. Using the daily returns on the 1-, 5-, 10- and 30-year US treasury bonds, we find that the macro factors significantly affect the bond volatility. In particular, the “real” factor affects the bond volatility of all maturities while the monetary variables are significantly related to the volatility of short-term bonds and weakly related to the volatility of medium-term bonds.