There is a close relationship between macroeconomic variables and the term structure of interest rates in Brazil. We characterize this relationship using the recent macro-finance approach adapted to the case of an emerging market economy.We find that (i) the yield curve have additional information about future economic growth; (ii) the forecasting power is increasing with the durability of goods and is essentially due to expected variations on short-term interest rates; (iii) cyclical variables (output gap, inflation rate and nominal exchange rate change) explain up to 53% of the variation in bond yields; (iv) the additional variation, represented by unobservable factors, seems to be related to the variation of international risk aversion and inflation expectations and (v) the notion of great external vulnerability of the brazilian economy during the period is confirmed by the strong role of the nominal exchange rate change, which explains up to 41% of the variation in bond yields.