In this paper we use data from a group of countries in Latin America, Asia and Europe to analyze the volatility comovements in domestic interest rates and exchange rates, and to determine whether national markets have grown more interdependent. To allow for the possibility of leverage effects or asymmetric volatility transmission in international financial markets, where down moves might be more influential for predicting volatility than up moves, we use the Exponential Generalized Autoregressive Conditionally Heteroskedastic (EGARCH) model. We expect to find evidence that there is correlation of financial instability as measured by volatility comovements in domestic interest rates and exchange rates across countries in the same region during financial crises, similar to the findings across international stock markets. Based on the results we can formulate appropriate policy responses to financial instability.