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We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. We propose a solution to the simultaneity problem of identifying the monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (CEE 1999). We find great interdependence between interest rate setting and stock prices. Stock prices fall immediately by two percent due to a monetary policy shock that raises the federal funds rate by 10 basis points. A stock price shock that increases stock prices by one percent, leads to an immediate increase in the interest rate of 10 basis points. Stock price shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute a major part of the surge in stock prices at the end of 1990s to these non-fundamental shocks