Employing a novel methodology of DCCA cross-correlation coefficient (ρDCCA), this study attempts to provide fresh evidences for the co-movement of monetary policies of the advanced (AEs) as well as the emerging economies (EMEs) vis-à-vis the United States. A higher degree of monetary co-movement as measured by ρDCCA values, is identified for the AEs as compared to the EMEs. Lower co-movement of monetary policy is especially noticeable in the short run for EMEs. We further investigate the time-varying nature of such co-movements for the AEs by splitting the period (1980–2014) into four sub periods and also by performing a rolling window estimation for the entire period to reveal smoother dynamics. Significant evidence of higher monetary coordination is revealed for sub-periods with stronger trade and financial linkages. •Higher degree of monetary coordination for advanced economies as compared to emerging economies.•Role of flexible exchange rates in enabling monetary autonomy is rather limited.•Capital controls do enable monetary autonomy specifically in the emerging economies.•Strong trade and financial linkages result in higher monetary coordination.