This article aims to investigate the effects resulting from the impact of an economic policy uncertainty shock on a set of macroeconomic variables. The economic policy uncertainty indicator was previously constructed using the minutes of the Copom meetings using the textual sentiment analysis technique. The database for this article consists of 63 time series, covering the period from January 2003 to December 2021. The Factor-Augmented Vector Autoregressive (FAVAR) model was used to investigate the effects of this shock on a wide variety of variables. The results showed that the increase in uncertainty has a negative impact on variables such as stock prices, government bonds and country risk. On the other hand, a positive effect was observed in the search for safe assets and in the reallocation of resources invested abroad, indicating the search for countries with greater stability. This dynamic results in a reorganization of portfolios, where liquidity and security gain greater importance.