The first chart shows the path of the annual change in the developed markets rate index in relation to the S&P 500. The analysis focus on the change, rather than the level. As can be seen in the chart there is a loose link between the two series, as the stock market both predicts and reacts to monetary policy settings. However there is little predictive power, aside from significant drops in the policy rate index occasionally coinciding with large spikes in 1 year returns.
emerging markets monetary policy rate index and a key emerging market stock index; the Hang Seng, there is a similar link. The more pronounced pattern is a link between down spikes in the policy rate index and up spikes in the stock index (and vice versa).
So this brief analysis shows there is some value in using the Global Monetary Policy Rate Index in forecasting and understanding trends in financial markets. The index appears negatively related to stock index movements, positively and lagged related to bond yield movements, and relatively strong positively related to commodity price index movements.
You can perform similar analysis with the Global Monetary Policy Rate Indexes with the original Data here.