The international co-movement of interest rates reflects correlated business-cycle fluctuations, largely driven by demand shocks. Monetary policy follows domestic mandates. Central banks adjust policy rates in response to domestic output gaps and inflation. We derive this result from 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. This model allows us to decompose international interest rate co-movement into contributions of global and country-specific supply, demand, and monetary policy shocks across seven advanced economies, and provides estimates of country-specific monetary policy rules.