We investigate the risk-taking channel of monetary policy phenomenon through a joint examination of the level of interest rate and the Cyclically Adjusted Price to Earnings (CAPE) ratio. First, using the methodology outlined by Bai and Perron (2003), we identify four distinct regimes in the federal funds rate. The CAPE ratio levels across the four federal fund regimes suggest that low rates are negatively correlated with the CAPE ratio. However, we estimate a SVAR and find that the level of the federal funds only has a significant effect in the high interest rate regime.