We provide a decomposition of nominal bond yields into its real and inflation components in an international context. We focus on 5 year yields for the UK, US and France, using inflation-linked and nominal Treasury yields since 2004. We find that expected inflation shows little variability and thus accounts for little of the variation in nominal yields. Inflation risk premiums are relatively more important, but have decreased over time. Liquidity premiums in inflation-linked debt remain relatively high, varying between 50 basis points and 1.10%, on average, but their variability has decreased over time. Real rate variation dominates the variation in inflation-linked and nominal yields. Real rates (mostly) correlate highly across countries, and are the main source of the observed high correlation between nominal yields. We show that a slow-moving risk aversion variable from a habit model explains a substantive part of the variation in real yields and explains (the change in) the correlation of real yields across countries (across time), thereby outperforming a measure of the monetary policy stance.