The U.S. Treasury yields reached a 20-year high under acute inflation pressure in the post-pandemic era amid aggravated geopolitical conflicts. To quantify the underlying effects of regional geopolitical risks (GPRs) of key U.S. strategic interests, we employ an extended affine term structure model with unspanned GPRs and conventional macroeconomic drivers. We find that GPR shocks, particularly those manifesting U.S.-China rivalry, contribute more to expectations and variations of inflation and yields than shocks to U.S. macroeconomic variables. The results warn on the adequacy of monetary policy in curbing inflation in a fragmented global order with escalating GPRs.