We study how monetary policy and risk shocks affect major asset prices (interest rates, stocks, long-term bonds) in three large economies: the US, the euro area, and Japan. Using a high-frequency framework, we fail to find evidence in favor of monetary policy affecting foreign asset prices through a risk channel. There is however a strong global common component in risk shocks affecting asset prices in all three economies. We document direct monetary policy spillovers, which are economically relatively more (less) important for interest rates and bond prices (stock prices) than risk shocks. The US generates relatively important â€œpureâ€ monetary policy spillovers, but information shocks emanating from the European Central Bank produce relatively the strongest effects on international stock and bond markets. The monetary policy effects on asset prices may well reflect a persistent direct interest rate effect rather than a risk premium effect.