This paper takes a look at the perception of inflation risk as market agents see through a survey of inflation expectations. We ask whether expected inflation, as reported by market agents, has a significant effect on real long-term interest rates. We find that market agents' perceptions about future inflation have a nonlinear effect. We argue that the simplest possible explanation for this finding is related to the aversion to losses effect. Moreover, it seems that through the central bank survey for inflation expectations, the various agents engage in a multi-player game to influence each other’s portfolio choices. In this specific sense, market agents attempt a form of price risk control. In practice, our results show that such expectations, when publicly known, do influence the prices for debt securities, if not the course of inflation itself. Finally we discuss whether some of the conclusions from this paper are extensible to debt markets in other emerging economies.