This article compares interactively coupled atmosphere-ocean hindcast simulations with stand-alone runs of the atmosphere and ocean models using the recently developed regional ocean-atmosphere model NEMO-Nordic for the North Sea and Baltic Sea. In the interactively coupled run, the ocean and the atmosphere components were allowed to exchange mass, momentum and heat every 3 h. Our results show that interactive coupling significantly improves simulated winter sea surface temperatures (SSTs) in the Baltic Sea. The ocean and atmosphere stand-alone runs, respectively, resulted in too low sea surface and air temperatures over the Baltic Sea. These two runs suffer from too cold prescribed ERA40 SSTs, which lower air temperatures and weaken winds in the atmosphere only run. In the ocean-only run, the weaker winds additionally lower the vertical mixing thereby lowering the upward transport of warmer subpycnocline waters. By contrast, in the interactively coupled run, the ocean-atmosphere heat exchange evolved freely and demonstrated good skills in reproducing observed surface temperatures. Despite the strong impact on oceanic and atmospheric variables in the coupling area, no far reaching influence on atmospheric variables over land can be identified. In perturbation experiments, the different dynamics of the two coupling techniques is investigated in more detail by implementing strong positive winter temperature anomalies in the ocean model. Here, interactive coupling results in a substantially higher preservation of heat anomalies because the atmosphere also warmed which damped the ocean to atmosphere heat transfer. In the passively coupled set-up, this atmospheric feedback is missing, which resulted in an unrealistically high oceanic heat loss. The main added value of interactive air-sea coupling is twofold: (1) the elimination of any boundary condition at the air-sea interface and (2) the more realistic dynamical response to perturbations in the ocean-atmosphere heat balance, which will be essential in climate warming scenarios.