There has been an impression for more than half a century that reductions in the north-south component of the Earth's magnetic field in the polar region (often called negative magnetic bays or polar magnetic bays) may occur immediately after compression of the magnetosphere by interplanetary (IP) shock impacts, in particular when the magnetosphere is preconditioned by southward interplanetary magnetic field (IMF). A literature search suggests that this view has not been rigorously verified nor disproved. This paper reports a study of 43 IP shock events to illustrate the effect of IP shock-magnetosphere coupling on the high-latitude auroral electrojets. Specifically, we correlate the strength of magnetic bays (inferred from minimum values of the AL index within a 30-min window after shock impact) with solar wind parameters and their combinations within the same time window. It is surprisingly found that the strength of magnetic bays correlates much better with solar wind parameters downstream of a shock (correlation coefficient, r, up to 0.86) than solar wind parameters upstream of a shock (r up to 0.6). Therefore whether or not an interplanetary shock can induce a magnetic bay depends on the concurrent solar wind and IMF conditions. This strongly suggests that enhancements of the westward auroral electrojet during magnetosphere compression are primarily associated with a directly driven process. It is also found that the solar wind dynamic pressure, which is traditionally considered a secondary effect, contributes equally with IMF Bz to the westward auroral electrojet.