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.
16  Another advantage is that, unlike survey participants, traders back up their forecasts with their money - a powerful incentive to make forecasts that are as accurate as possible. 17  Our analysis used daily data. Using intraday data, Gurkaynak, Sack, and Swanson (2004) found an effect of similar magnitude.