While the correlations among changes in interest rates have not increased, changes in interest rates between the U.S. and major industrial counties are correlated. Correlations tend to be about 0.5. This leaves open the question of causality and source of the BIS Review 95/1997  -4-  correlations.
It does not mean that higher U.S. interest rates directly raise foreign interest rates by this amount. First, some of the co-movement could reflect synchronous business cycles. Second, some of the co-movement could reflect the spillover effects of a cycle in one country on aggregate demand and hence interest rates in the other countries.