This article investigates the behavior of the Russian government bond yields and its sensitivity to a selected range of macroeconomic, monetary, international and event factors. The analysis concerns both individual and joint, short-term and long-term influence of factors under study, with emphasis to the most informative determinants of yields. In whole the results of the empirical study using monthly data from 2003 to 2009 indicate a major significant role of changes in monetary factors, notably the minimum repo rate and the interbank interest rate, as well as of foreign exchange rate risk factor. Joint influence of theoretical fundamentals, namely inflation and its expectations, exchange rate and money supply growth, explain less than a third of bond yields movements. On the other hand, no importance of GDP and domestic debt growth as well as of external risk factors, such as oil prices, foreign interest rates and changes in international reserves is found. Also the results provide evidence for the fact that most government bond yields respond to certain political and economic events and reflect crisis changes of the market.