The popular Nelson–Siegel Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473–489 yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold–Li Diebold, F.X., Li, C., 2006. Forecasting the term structure of government bond yields. Journal of Econometrics 130, 337–364 have recently proposed a dynamized version. In this paper we extend Diebold–Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the UK and the US, we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.