This paper decomposes international interest rate co-movement into contributions of global and domestic supply, demand, and monetary policy shocks across seven advanced economies. We develop a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with cross-sectional shrinkage, and a factor structure for structural shocks. We show that monetary policy follows traditional domestic mandates as central banks adjust policy rates in response to domestic output gaps and inflation. The observed co-movement of interest rates across countries arises because business-cycle fluctuations – driven largely by demand-type shocks – are correlated internationally.