In this thesis we discuss two empirical essays in finance and one in market microstructure. The first article studies the joint dynamics of the two most liquid term structure of interest rates traded at BM&F, one in Brazilian reais and the other in US dollars, and two currency risk premia measures. One currency risk premia measure is obtained using currency expectation surveys conducted by the Central Bank of Brazil, while the other will be residual from the three month forward premium traded each day and the effective currency observed on the liquidation date three months after. Results show that the term structures will explain some of the realized currency risk premia observed three months after. We see this as an evidence in favor of information in the curves more correlated to the effective currency movement in three months than the expected devaluation. The second article proposes and extension of the framework introduced by Ang and Piazzesi (2003) to accommodate a no- arbitrage term structure model with macro factors. We replace the usual inflation and output macro factors for two currency variables, the expected currency devaluation and the currency risk premia. Results here show a better fit when compared to existing models estimated for Brazil. The third article proposes an inter-dealer market model in three stages, where disclosure of information is modeled by noisy informative signals. Simulations show that dealers better informed will play strategically to avoid revealing information and the risk-sharing in the economy will be lower when we increase the precision of the informative signals.