Empirical evidence from reduced form VAR estimates shows that there has been a change in the way that the Brazilian yield curve reacts to a monetary policy shock. To better understand the sources of this change we estimated a linearized DSGE model with a term structure of interest rates over two sample periods to see what parameters of the economy might have caused the change. The linearization method is augmented with a risk adjustment term in order to generate a positive term spread and a risk-adjusted steady state. We discuss the empirical evidence, compare the solution methods with other traditional methods and estimate a model with Epstein-Zin preferences using Bayesian methods.We find that our structural model is capable of capturing some of the changes of behavior, and it is caused mainly by a smaller inflation coefficient of the interest rate rule and higher persistence of monetary policy shocks.