This study uses Sims-type vector autoregression technique to examine the impact of daily U.S. federal funds rate on six major Pacific Rim stock exchanges during the period 1990 to 1995 and a sub-period of 1994 to capture the change in U.S. monetary policy. Empirical results show that when the U.S. was targeting the federal funds rate in 1994, the variations in U.S. federal funds rate much better explain the variations of stock returns in Australia and Hong Kong. These results further suggest that a long time series data set may have the risk of encountering different policy regime during the period of study.