<p>This study employs a time-varying parameter vector autoregression (TVP-VAR) model and a frequency-domain spillover approach. It investigates the dynamic interconnectedness of international monetary policies among advanced economies from December 2019 to December 2022. This period includes two major global shocks: the COVID-19 pandemic and the Russia–Ukraine conflict. The analysis uses Krippner’s (A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Technical Report, 2013) daily shadow short rates to account for the effective lower bound constraint. Our findings reveal significant and time-varying monetary policy connectedness, especially during crises. Spillover intensity increased during the early pandemic and amid inflationary pressures from the Russia–Ukraine war. Evidence supports the critical role of coordinated monetary responses during systemic crises. The analysis shows that long-term components primarily influenced monetary transmission during the pandemic. Short-term shocks drove the transient spike during the geopolitical conflict. Australia, the United States, the Euro Area, the United Kingdom, and Canada emerge as key sources of monetary policy spillovers. Japan, Switzerland, and New Zealand mainly absorb these effects. Importantly, spillover magnitudes are significantly higher when shadow rates are calculated using Krippner’s method than when using alternatives. These results carry important implications for policymakers, emphasising the need for integrated policy frameworks to enhance macroeconomic modelling, policy design, and financial stability.</p>