Figure 2.
Part a compares S and P 500 returns with T bill yield change from about 2015 to 2025. The x-axis is time, with yearly labels from 2016 to 2025. The y-axis ranges from about negative 0.6 to 0.6, with intervals of 0.2. The series fluctuates around 0 and repeatedly rises above a horizontal dashed reference line near 0.17. Highlighted segments occur mainly during positive peaks. Values rise to about 0.4 in 2016 and 2020, fall to around negative 0.4 in 2023, and rise to about 0.5 in 2025. Part b compares Nasdaq returns with T bill yield change over the same period and y axis range. It also fluctuates around 0, with highlighted segments above a dashed reference line near 0.17. Peaks reach about 0.45 in 2020 and about 0.55 in 2025. The lowest values fall to around negative 0.4 in 2023.60-day rolling correlation between stock returns and T-bill yield changes (black line), with periods exceeding one standard deviation highlighted in red. The dashed red line represents the threshold of one standard deviation