Today I have tried to provide a small taste of the many types of financial data that are analyzed by the staff at the Federal Reserve as well as to give  15  Sack (2004) also allows for time-varying risk premiums, making the assumption that the risk premium is related to the slope of the eurodollars futures curve at longer horizons.
Like Piazzesi and Swanson (2004), he finds that time variation in the risk premium has little effect on estimated policy expectations at shorter horizons (six to twelve months, in his study) but becomes increasingly important at longer horizons.