In this paper I analyze how exogenous monetary policy impulses transmit jointly to the U.S. macroeconomy and the term structure of U.S. interest rates. I estimate a Macro-A¢ ne Term Structure Model, which is similar to Joslin, Priebsch, and Singleton (2010), and use it to identify monetary policy shocks and term premia. My main …nding is that monetary policy shocks trigger relevant movements in long-term bond premia, which in turn feed back into the macroeconomy. This gives rise to a "term-premium channel of monetary transmission". I show that it is particularly important in the pre-Volcker period; in the post-Volcker period, this channel turns out to be empirically irrelevant. I then estimate how shocks to future monetary policy expectations are transmitted to the economy. I …nd that, in the post-Volcker period, shocks to policy expectations produce more pronounced and more intuitive responses for macroeconomic variables than do standard shocks to the contemporaneous value of the monetary policy instrument. This suggestes that communication between the Fed and private agents is a powerful instrument of monetary policy.