The question of how shifts in US monetary policy affect other nations is key to central bank policymaking around the world. This column combines a simple theoretical framework with macro data from 70+ countries and micro data from over a million non-financial firms in 43 of these countries to show that monetary policy spillovers from the US to the rest of the world operate through changes in risk premia, with emerging market economies most vulnerable. It also discusses the policy options available to countries to deal with the effects of these risk spillovers.