•A flight-to-safety (FTS) index measuring global risk appetite is constructed from daily asset prices.•The FTS index is associated with significant US dollar appreciation.•Both FTS and US monetary policy have large spillover effects on emerging markets.•Results are robust to controlling for other measures of global financial risk. This paper constructs a global financial flight-to-safety (FTS) index that measures risk-off/risk-on sentiment using daily asset prices disciplined with sign and magnitude restrictions. This FTS index is correlated with U.S. Dollar returns and global financial conditions but uncorrelated with high-frequency U.S. monetary policy shocks, providing a novel setup to jointly compare international financial and monetary spillovers under relatively mild identification assumptions. Estimates from a multi-country VAR show that FTS induce wider sovereign spreads, currency depreciation, and slower economic growth in emerging markets. Coincident U.S. monetary policy expansions offset these FTS spillovers by about 30% while coincident policy contractions magnify them, suggesting a prominent role for U.S. policy in shaping financial stability abroad.