Submitted by Rafael Burjack Farias Duarte (burjack86@gmail.com) on 2016-04-08T00:01:56Z No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-06-02T16:47:53Z (GMT) No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-06-13T18:12:59Z (GMT) No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) / Made available in DSpace on 2016-06-13T18:13:41Z (GMT). No. of bitstreams: 1 Final_bib.pdf: 5471404 bytes, checksum: 29bf9321d29ec324d42b89681de3eb28 (MD5) Previous issue date: 2015-11-27 / Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises to the Brazilian interbank target rate on expected future nominal and real short rates, term premia, and inflation expectations. We find that positive surprises to target rates lead to higher expected nominal and real interest rates and reduced nominal and inflation term premia. We also find a strongly positive relation between both real and nominal term premia and measures of dispersion in survey forecasts. Uncertainty about future exchange rates is a particularly important driver of variations in Brazilian term premia.