Research
Data through 31 Jul 2026MethodFRED source

MONETARY POLICY RESEARCH

How do rate shocks move equities?

U.S. monthly data / Sep 2016-Jul 2026

ESTIMATED RESPONSE

Short-lived, mildly negative.

The S&P 500 falls most in month 1, then the effect fades toward zero. The 12-month cumulative estimate is mildly negative.

Historical association, not a causal estimate
−0.91%12M cumulative S&P 500 response
+1.01%impact
−1.19%month 1
−0.01%month 12
≈ +14 bpsrate innovation

S&P 500 return response to a rate shock

Monthly return response with 90% interval. Months −2 and −1 are normalized to zero.

Shock scale
-2-1012−2−10123456789101112SHOCKNORMALIZED PRE-SHOCKMonth -2: normalized baselineMonth -1: normalized baselineMonth 0: +1.01%Month 1: −1.19%Month 2: −0.25%Month 3: +0.03%Month 4: −0.18%Month 5: −0.11%Month 6: −0.05%Month 7: −0.05%Month 8: −0.04%Month 9: −0.03%Month 10: −0.02%Month 11: −0.02%Month 12: −0.01%Largest dragMonths relative to shockReturn response (%)
IRF estimate90% confidence bandPre-shock baseline
HISTORICAL CROSS-PLOT

Rate changes vs. S&P 500 returns

Monthly change in average DFF against same-month S&P 500 log return. Sep 2016-Jul 2026.

r = +0.01No clear linear relationship
-15-10-5051015-100-500501002016-09: ΔDFF -0.0 bps, S&P 500 -0.12%2016-10: ΔDFF +0.0 bps, S&P 500 -1.96%2016-11: ΔDFF +1.0 bps, S&P 500 +3.36%2016-12: ΔDFF +13.3 bps, S&P 500 +1.80%2017-01: ΔDFF +11.0 bps, S&P 500 +1.77%2017-02: ΔDFF +0.7 bps, S&P 500 +3.65%2017-03: ΔDFF +12.9 bps, S&P 500 -0.04%2017-04: ΔDFF +11.0 bps, S&P 500 +0.91%2017-05: ΔDFF +1.1 bps, S&P 500 +1.15%2017-06: ΔDFF +13.3 bps, S&P 500 +0.48%2017-07: ΔDFF +11.1 bps, S&P 500 +1.92%2017-08: ΔDFF +0.7 bps, S&P 500 +0.06%2017-09: ΔDFF -0.4 bps, S&P 500 +1.91%2017-10: ΔDFF +0.1 bps, S&P 500 +2.19%2017-11: ΔDFF +0.3 bps, S&P 500 +2.77%2017-12: ΔDFF +14.5 bps, S&P 500 +0.98%2018-01: ΔDFF +11.3 bps, S&P 500 +5.47%2018-02: ΔDFF +0.3 bps, S&P 500 -3.97%2018-03: ΔDFF +8.9 bps, S&P 500 -2.73%2018-04: ΔDFF +18.6 bps, S&P 500 +0.27%2018-05: ΔDFF +0.8 bps, S&P 500 +2.14%2018-06: ΔDFF +12.0 bps, S&P 500 +0.48%2018-07: ΔDFF +9.0 bps, S&P 500 +3.54%2018-08: ΔDFF +0.5 bps, S&P 500 +2.98%2018-09: ΔDFF +4.0 bps, S&P 500 +0.43%2018-10: ΔDFF +23.3 bps, S&P 500 -7.19%2018-11: ΔDFF +1.0 bps, S&P 500 +1.77%2018-12: ΔDFF +7.7 bps, S&P 500 -9.63%2019-01: ΔDFF +12.6 bps, S&P 500 +7.57%2019-02: ΔDFF +0.0 bps, S&P 500 +2.93%2019-03: ΔDFF +0.5 bps, S&P 500 +1.78%2019-04: ΔDFF +1.9 bps, S&P 500 +3.86%2019-05: ΔDFF -3.3 bps, S&P 500 -6.80%2019-06: ΔDFF -1.3 bps, S&P 500 +6.67%2019-07: ΔDFF +2.5 bps, S&P 500 +1.30%2019-08: ΔDFF -27.7 bps, S&P 500 -1.83%2019-09: ΔDFF -8.3 bps, S&P 500 +1.70%2019-10: ΔDFF -21.3 bps, S&P 500 +2.02%2019-11: ΔDFF -27.6 bps, S&P 500 +3.35%2019-12: ΔDFF -0.2 bps, S&P 500 +2.82%2020-01: ΔDFF -0.0 bps, S&P 500 -0.16%2020-02: ΔDFF +3.3 bps, S&P 500 -8.79%2020-03: ΔDFF -93.1 bps, S&P 500 -13.37%2020-04: ΔDFF -60.3 bps, S&P 500 +11.94%2020-05: ΔDFF +0.1 bps, S&P 500 +4.43%2020-06: ΔDFF +2.8 bps, S&P 500 +1.82%2020-07: ΔDFF +1.5 bps, S&P 500 +5.36%2020-08: ΔDFF +0.3 bps, S&P 500 +6.77%2020-09: ΔDFF -0.5 bps, S&P 500 -4.00%2020-10: ΔDFF +0.0 bps, S&P 500 -2.81%2020-11: ΔDFF -0.4 bps, S&P 500 +10.21%2020-12: ΔDFF +0.4 bps, S&P 500 +3.65%2021-01: ΔDFF -0.5 bps, S&P 500 -1.12%2021-02: ΔDFF -0.9 bps, S&P 500 +2.58%2021-03: ΔDFF -0.6 bps, S&P 500 +4.16%2021-04: ΔDFF -0.1 bps, S&P 500 +5.11%2021-05: ΔDFF -1.1 bps, S&P 500 +0.55%2021-06: ΔDFF +2.0 bps, S&P 500 +2.20%2021-07: ΔDFF +2.0 bps, S&P 500 +2.25%2021-08: ΔDFF -0.6 bps, S&P 500 +2.86%2021-09: ΔDFF -1.3 bps, S&P 500 -4.87%2021-10: ΔDFF -0.0 bps, S&P 500 +6.69%2021-11: ΔDFF +0.1 bps, S&P 500 -0.84%2021-12: ΔDFF +0.0 bps, S&P 500 +4.27%2022-01: ΔDFF -0.0 bps, S&P 500 -5.40%2022-02: ΔDFF +0.1 bps, S&P 500 -3.19%2022-03: ΔDFF +12.1 bps, S&P 500 +3.52%2022-04: ΔDFF +12.9 bps, S&P 500 -9.21%2022-05: ΔDFF +43.5 bps, S&P 500 +0.01%2022-06: ΔDFF +44.0 bps, S&P 500 -8.77%2022-07: ΔDFF +47.1 bps, S&P 500 +8.72%2022-08: ΔDFF +65.4 bps, S&P 500 -4.34%2022-09: ΔDFF +22.5 bps, S&P 500 -9.80%2022-10: ΔDFF +52.5 bps, S&P 500 +7.68%2022-11: ΔDFF +70.0 bps, S&P 500 +5.24%2022-12: ΔDFF +32.4 bps, S&P 500 -6.08%2023-01: ΔDFF +22.6 bps, S&P 500 +5.99%2023-02: ΔDFF +24.0 bps, S&P 500 -2.65%2023-03: ΔDFF +7.9 bps, S&P 500 +3.44%2023-04: ΔDFF +18.1 bps, S&P 500 +1.45%2023-05: ΔDFF +22.6 bps, S&P 500 +0.25%2023-06: ΔDFF +2.0 bps, S&P 500 +6.27%2023-07: ΔDFF +4.4 bps, S&P 500 +3.07%2023-08: ΔDFF +21.0 bps, S&P 500 -1.79%2023-09: ΔDFF +0.0 bps, S&P 500 -5.00%2023-10: ΔDFF +0.0 bps, S&P 500 -2.22%2023-11: ΔDFF +0.0 bps, S&P 500 +8.54%2023-12: ΔDFF +0.0 bps, S&P 500 +4.33%2024-01: ΔDFF +0.0 bps, S&P 500 +1.58%2024-02: ΔDFF +0.0 bps, S&P 500 +5.04%2024-03: ΔDFF +0.0 bps, S&P 500 +3.06%2024-04: ΔDFF +0.0 bps, S&P 500 -4.25%2024-05: ΔDFF +0.0 bps, S&P 500 +4.69%2024-06: ΔDFF +0.0 bps, S&P 500 +3.41%2024-07: ΔDFF +0.0 bps, S&P 500 +1.13%2024-08: ΔDFF +0.0 bps, S&P 500 +2.26%2024-09: ΔDFF -20.0 bps, S&P 500 +2.00%2024-10: ΔDFF -30.0 bps, S&P 500 -0.99%2024-11: ΔDFF -19.2 bps, S&P 500 +5.57%2024-12: ΔDFF -16.3 bps, S&P 500 -2.53%2025-01: ΔDFF -14.5 bps, S&P 500 +2.67%2025-02: ΔDFF +0.0 bps, S&P 500 -1.43%2025-03: ΔDFF +0.0 bps, S&P 500 -5.93%2025-04: ΔDFF +0.0 bps, S&P 500 -0.77%2025-05: ΔDFF +0.0 bps, S&P 500 +5.97%2025-06: ΔDFF +0.0 bps, S&P 500 +4.84%2025-07: ΔDFF +0.0 bps, S&P 500 +2.14%2025-08: ΔDFF +0.0 bps, S&P 500 +1.89%2025-09: ΔDFF -10.5 bps, S&P 500 +3.47%2025-10: ΔDFF -13.7 bps, S&P 500 +2.24%2025-11: ΔDFF -21.2 bps, S&P 500 +0.13%2025-12: ΔDFF -15.6 bps, S&P 500 -0.05%2026-01: ΔDFF -8.1 bps, S&P 500 +1.36%2026-02: ΔDFF +0.0 bps, S&P 500 -0.87%2026-03: ΔDFF +0.0 bps, S&P 500 -5.23%2026-04: ΔDFF +0.0 bps, S&P 500 +9.91%2026-05: ΔDFF -1.2 bps, S&P 500 +5.02%2026-06: ΔDFF -0.2 bps, S&P 500 -1.07%2026-07: ΔDFF +0.3 bps, S&P 500 -0.13%Monthly change in average DFF (bps)S&P 500 log return (%)
119 monthly observationsOLS fitted lineDescriptive association only
METHOD

VAR(2), Cholesky IRF

Δ effective federal funds rate → S&P 500 log return. 119 observations.

SOURCES

FRED DFF + FRED SP500 price index.

LIMITATIONS
Observed rate change10-year samplePrice index excludes dividendsOrdering-sensitive