The Fed caught markets by surprise in 1994, when it raised interest rates for the first time in February. Stocks sold off for the next two months and bond yields jump.
"Gentlemen no longer prefer bonds, to judge by last month's events as bond markets suffered their fourth worst month in the last twenty years," Russell and Baillie said on Monday."
Societe Generale's Patrick Legland also noted that while the rise in bond yields is directly linked to the improvement in the U.S. economy, he warned the move could hit equity markets.
"Our strategists and economists reiterated their year-end target of 2.75 percent for U.S. rates. If this scenario materializes, equity markets could be at risk," Legland said.
"Indeed, five times in the past 30 years in the U.S., we experienced a rise of rates above 50 percent from their lows. On three occasions, this rate shock translated into an equity correction of between 15 percent and 45 percent. Therefore, a rise of US rates to 2.75 percent by year-end has a relatively high probability of hurting equity markets. The question for financial markets is: how far and how fast rates could rise without impacting equities," he added.
However, not everyone thinks that a "1994 moment is likely", and as Citi analysts led by Anna Esposito point out, after an initial drop, stocks entered a strong bull market for the rest of the decade.
"While it is interesting to step back in time and observe key periods in financial market history, we suspect that parallels between 1994 and now are overblown," said Esposito.
"Low inflation pressures should afford policy makers greater flexibility. Additionally, communication policy appears stronger now than 20 years ago," she added.
—By CNBC's Jenny Cosgrave: Follow her on Twitter @jenny_cosgrave
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