This paper explores the frequency dynamics of volatility spillovers among crude oil and international stock markets using implied volatility indices. I find evidence of volatility spillovers driven mainly by short-term spillovers. Moreover, low interest rate is the primary driver of volatility spillovers, whose roles mainly stem from its impact on short-term spillovers. The impact of interest rate on long-term spillovers is significantly positive, but relatively limited. The findings highlight that although the low interest rate offers a anticipation of the stability of financial system in the long run, it can be a source of global system risk, especially in the short run. •Volatility spillover is driven mainly by short-term spillovers.•Low interest rate is the primary driver of volatility spillovers•Its role mainly stems from the impact on short-term spillovers.•Its role in long-term spillovers is positive, but limited.