Empirical evidence on the validity of the monetary independence hypothesis for a group of advanced accession countries (the Czech Republic, Hungary and Poland) is presented. In particular, we employ Dynamic Conditional Correlation Multivariate GARCH (DCC-MGARCH) models to estimate the degree of (time-varying) correlation in interest rates shocks with respect to two leading economies, Germany and the US, under different exchange rates regimes. The results are mixed: while the dynamic behaviour of the correlations in interest rate shocks in the Czech Republic appears consistent with theory, no evidence concerning the validity of the monetary hypothesis is found for Hungary and Poland.