I have argued in the past that the two-year Treasury yield is a good proxy for the stance of monetary policy and captures announcement effects.3 The 2-year yield went from 25 basis points in September 2021 to around 200 basis points by the March 2022 FOMC meeting.
Even though we had not raised the policy rate nor did we get the policy rate up to 200 basis points until August 2022, the markets priced in a nearly 200 basis point increase in the expected policy rate before we actually raised it.