Thanks for the good info. How did u calculate the data on a month to month, qtr to qtr, basis or a year to year? Lets say the fed raised and tightened that same year.. how would u calculate it? Just curious because sometimes when u do these types of analysis the numbers can be a bit deceiving. Thanks anyways. --MIKE
Actually, I did not use fixed time periods, as this kind of analysis has obvious problems. My calculations were very simple. I downloaded historical Fed Funds information from Federal Reserve Bank of NY website (they go back to 1971). I identified the dates of peaks and troughs of the interest rate cycles, and recorded SP500 values for those dates. Now, knowing the beginning and ending values of SP500, and the number of days in the cycle, I had to annualize the number in order to make the results comparable between the cycles. I did have to make some minor assumptions that should not alter the results of the analysis. Back in â70s Fed sometimes did not specify exact dates of interest rates changes; they gave you the approximate time like âbeginning of Juneâ. If that was the case I used June 1st for the purpose of this analysis. I hope this helps. DVB http://www.newyorkfed.org/markets/statistics/dlyrates/fedrate.html