We examine the interest rate pass-through in Hong Kong (HK) and Macao to see if the monetary policy transmission mechanism has been impaired since the Global Financial Crisis (GFC). Our results show that, in the post-GFC period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and weakened significantly in HK. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly. The results indicate that the effectiveness of the monetary policy in HK and Macao has been seriously undermined after the GFC and alternative monetary policy tools were needed.