The Response of Equity Prices to Movements in Long-term Interest Rates Associated With Monetary Policy Statements: Before and After the Zero Lower Bound

Michael T. Kiley

Figure 1: Surprises in Selected Interest Rates and Equity Prices Around FOMC Announcements Pre-ZLB and ZLB Period

OBS	Surprise in Federal Funds Rate	Surprise in 10-year Treasury yield	Surprise in S&P500
7/05/1991	0	0.024	-0.02932
8/06/1991	-0.186	-0.04	0.49425
8/21/1991	0.124	0.004	0.12212
9/13/1991	-0.05294	-0.009	-0.04647
10/02/1991	-0.01069	-0.005	-0.04361
10/30/1991	-0.03001	-0.006	0.02295
11/06/1991	-0.1	-0.05	0
12/06/1991	0	0.009	0.02634
12/18/1991	0.04769	-0.005	-0.00786
12/20/1991	-0.36635	-0.082	0
2/06/1992	0.01261	-0.004	0.03623
4/01/1992	0.01035	0.002	-0.13198
4/09/1992	-0.21429	-0.053	0.80151
5/20/1992	0	-0.011	-0.06721
7/02/1992	-0.08552	0.018	0.0557
8/19/1992	0.02583	-0.002	0.02617
9/04/1992	0	0.008	-0.0024
10/07/1992	0	0.009	-0.18129
11/18/1992	-0.04999	-0.003	0.27846
12/23/1992	0.03873	-0.004	-0.10212
2/04/1993	0	0.002	-0.06245
3/24/1993	0	0.002	-0.09324
5/19/1993	-0.02583	-0.015	0.15957
7/08/1993	0.02696	-0.002	0.29
8/18/1993	0	0.008	-0.11818
9/22/1993	0	0.004	0
11/17/1993	0.02308	-0.012	0.04079
12/22/1993	0	0	0.01935
2/04/1994	0.16333	0.074	-0.65986
3/22/1994	-1e-05	-0.066	0.30084
4/18/1994	0.15001	0.049	-0.67892
5/17/1994	0.11072	-0.095	0.54159
7/06/1994	-0.0496	0.015	-0.18351
8/16/1994	0.12399	-0.047	0.25516
9/27/1994	-0.09	0.024	-0.19502
11/15/1994	0.12	-0.012	-0.55058
12/20/1994	-0.22546	0.006	0.0459
2/01/1995	0.06223	0.032	-0.2096
3/28/1995	-0.01	0.016	-0.14307
5/23/1995	1e-05	0.002	-0.01713
7/06/1995	-0.1116	-0.134	0.31071
8/22/1995	0.03443	0.026	-0.16999
9/26/1995	0.03001	0.032	-0.17497
11/15/1995	0.03999	0.016	-0.06109
12/19/1995	-0.09041	-0.008	0.26401
1/31/1996	-0.03001	-0.01	0.05067
3/26/1996	0.01	-0.002	0.21235
5/21/1996	-1e-05	0.012	-0.21492
7/03/1996	-0.07197	-0.011	0.13861
8/20/1996	-0.02819	0.013	-0.14401
9/24/1996	-0.12	-0.031	0.00727
11/13/1996	-0.01765	-0.024	0.25763
12/17/1996	0.01107	0.005	-0.07589
2/05/1997	-0.03652	0.022	-0.33607
3/25/1997	0.04	0.056	-0.66551
5/20/1997	-0.09865	-0.013	0.55083
7/02/1997	-0.02138	-0.009	0.19237
8/19/1997	-1e-05	0.013	-0.42781
9/30/1997	0	0.006	-0.20644
11/12/1997	-0.04166	-0.023	-0.55214
12/16/1997	0	-0.004	-0.12988
2/04/1998	0	0.007	-0.3372
3/31/1998	-0.01	0.004	-0.01808
5/19/1998	-0.02584	-0.008	-0.11687
7/01/1998	-0.00516	0.002	0.08763
8/18/1998	0.01193	0	0.16447
9/29/1998	0.05	-0.004	-0.75181
10/15/1998	-0.24219	-0.15	2.04262
11/17/1998	-0.06923	-0.01	0.81194
12/22/1998	0	0.002	-0.13276
2/03/1999	0.0056	0.024	0.14979
3/30/1999	-0.01	-0.006	-0.20642
5/18/1999	-0.01193	0.108	-1.43559
6/30/1999	-0.03	-0.077	1.60906
8/24/1999	0.035	-0.019	0.57282
10/05/1999	-0.04173	0.072	-0.82928
11/16/1999	0.07501	0.038	-0.41763
12/21/1999	0.01551	0.04	0.47722
2/02/2000	-0.05907	0.046	-0.4101
3/21/2000	-0.0465	-0.002	0.06116
5/16/2000	0.04133	0.009	-0.5454
6/28/2000	-0.025	-0.015	0.25302
8/22/2000	-0.01721	0.008	-0.12621
10/03/2000	0	0.025	-0.30266
11/15/2000	-0.00999	-0.021	-0.66752
12/19/2000	0.06458	0.026	-0.69114
1/03/2001	-0.39304	0.052	4.07575
1/31/2001	0.035	0.013	-0.62364
3/20/2001	0.07046	-0.008	-0.67958
4/18/2001	-0.43749	-0.027	2.22956
5/15/2001	-0.09688	-0.024	0.40882
6/27/2001	0.105	0.011	-0.40319
8/21/2001	0.01549	-0.006	-0.71223
10/02/2001	-0.03742	-0.00195	-0.30724
11/06/2001	-0.15	-0.019	0.94037
12/11/2001	-0.00775	-0.051	0.22721
1/30/2002	0.025	-0.01	-0.12751
3/19/2002	-0.02584	-0.052	-0.38271
5/07/2002	0.00645	-0.0186	-0.37352
6/26/2002	0	0.0081	-0.60479
8/01/2002	0.00516	-0.0039	0.03147
8/13/2002	0.04306	-0.0515	-0.69761
9/24/2002	0.02	-0.0146	-0.9571
11/06/2002	-0.2	-0.0707	-0.92593
12/10/2002	0	0.0116	-0.33811
1/29/2003	0.01	0.0468	0.16534
3/18/2003	0.02383	-0.021	-0.50717
5/06/2003	0.0372	-0.0542	0.17834
6/25/2003	0.135	0.0257	-0.27153
8/12/2003	0	-0.0274	-0.10492
9/16/2003	0.01072	-0.0059	-0.18495
10/28/2003	-0.005	-0.0788	-0.05012
12/09/2003	0	0.0936	-0.05813
1/28/2004	0.005	0.1616	-0.9677
3/16/2004	0	-0.0714	-0.07294
5/04/2004	-0.01148	0.0245	0.36567
6/30/2004	-0.005	0.0119	0.28122
8/10/2004	0.00738	0.0231	-0.2991
9/21/2004	0	-0.0249	0.06393
11/10/2004	-0.0075	-0.0295	0.08411
12/14/2004	-0.00913	-0.0135	0.05833
2/02/2005	0	-0.0234	0.00504
3/22/2005	0	0.1176	-0.28511
5/03/2005	-0.00553	0.0079	0.32116
6/30/2005	-0.005	-0.002	-0.42657
8/09/2005	-0.00705	-0.0221	0.23399
9/20/2005	0.045	-0.0273	-0.12166
11/01/2005	-0.00518	0.0061	0.24188
12/13/2005	-0.00861	-0.0138	0.48448
1/31/2006	0.005	0.0359	-0.28159
3/28/2006	0	0.0426	-0.64595
5/10/2006	0	0.0381	-0.15511
6/29/2006	-0.015	-0.0083	0.49365
8/08/2006	-0.04718	0	-0.26456
9/20/2006	-0.01499	0.0139	-0.24016
10/25/2006	-0.005	-0.0201	-0.03989
12/12/2006	0	-0.0353	0.28273
1/31/2007	-0.005	-0.0123	0.52273
3/21/2007	0	-0.0492	0.88763
5/09/2007	-0.00704	0.0238	-0.1418
6/28/2007	0	0.0084	-0.28916
8/07/2007	0.00646	-0.0183	-1.05096
9/18/2007	-0.2	0.0059	1.33054
10/31/2007	-0.02499	0.0528	-0.44209
12/11/2007	0.03101	-0.0707	-1.59674
1/22/2008	-0.46501	0.0864	-0.9244
1/30/2008	-0.115	0.0169	0.75571
3/18/2008	0.09539	-0.0205	-1.13335
4/30/2008	-0.065	-0.002	0.31143
6/25/2008	-0.01	-0.0059	0.10337
8/05/2008	-0.00298	0.0176	0.10375
9/16/2008	0.10713	0.0435	-0.76838
10/08/2008	-0.1213	0.0442	-0.73477
10/29/2008	-0.035	-0.0552	-1.88032
11/25/2008	-0.01	-0.0269	0.18666
12/01/2008	-0.00982	0.0087	-0.85134
12/16/2008	-0.16017	-0.1424	1.71037
1/28/2009	0.005	0.0137	-0.09395
3/18/2009	0	-0.4389	1.5276
4/29/2009	0.005	0.0679	0.75174
6/24/2009	0	0.1011	-0.50384
8/12/2009	0	0.0198	-0.25911
9/23/2009	-0.005	-0.0783	0.63447
11/04/2009	-0.00577	0.0228	0.07677
12/16/2009	-0.031	0.0343	-0.09519
1/27/2010	-0.005	0.0232	0.0819
3/16/2010	-0.00517	-0.0152	0.18716
4/28/2010	0	0.0136	0.20239
6/23/2010	0.005	0	0.34373
8/10/2010	0.00369	-0.0639	0.69335
9/21/2010	0	-0.0054	0.62964
11/03/2010	0.00833	0.0689	-0.48747
12/14/2010	0	0.0233	0.00883
1/26/2011	-0.005	0.0177	-0.05857
3/15/2011	0	0.0164	0.28501
4/27/2011	0	-0.0093	0.22289
6/22/2011	0	0.0236	0.09572
8/09/2011	-0.00704	-0.0233	-0.89025
9/21/2011	0.00834	-0.043	-0.26924
11/02/2011	0	0.0026	-0.15528
12/13/2011	0.00431	-0.0139	-0.75199
1/25/2012	-0.005	-0.0511	0.34102
3/13/2012	0	0.0404	-0.05568
4/25/2012	0	0.0141	-0.04978
6/20/2012	0.00751	-0.0375	-0.0517
8/01/2012	-0.01137	0.0272	-0.01087
9/13/2012	0.00883	0.0772	0.5984
10/24/2012	-0.005	-0.0035	-0.05795
12/12/2012	0.00408	0.0301	0.38377

Return to Figure 1

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