Local two-year swaps had already been rising on the expectations that the Reserve Bank of NZ might have to work harder to stem rising inflation.
"It [the two-year swap rate] is at a new cycle high and it essentially reflects the market coming around to the view that there is more work to be done by all central banks, and the local Reserve Bank is not immune from that as well," ANZ strategist David Croy said.
Last week, ANZ made big changes to its interest rate outlook, saying the Reserve Bank's official cash rate (OCR) may need to hit 4.75 per cent to cool an economy that refuses to "roll over".
Comments from central banks this week very much centred on the need to get on top of inflation.
"New Zealand was going it alone a little bit there, and that was what was holding the market back a little bit," Croy said.
"But now that these other central banks have joined the party insofar as the hawkish rhetoric goes, we have seen an outsized move today in the swaps market," he said.
Last week's change of heart from ANZ followed the release of data showing GDP grew by a higher-than-expected 1.7 per cent in the June quarter.
"The economy is not rolling over, with the tight labour market and strong wage growth partially offsetting the impact of higher interest rates," the bank's economists said.
The Fed this week signalled its intention to keep monetary policy tight as it tries to hit the brakes on the overheating US economy.
The hike in the Fed Funds rate to a target range of 3 per cent to 3.25 per cent advanced its most aggressive monetary tightening campaign since the early 1980s.
In a statement the Fed's Open Market Committee said it "anticipates that ongoing increases in the target range will be appropriate".
"Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher food and energy prices, and broader price pressures," it said.
