1 Introduction 2

2 Data 5

  2.1 U.S. Treasury supply shocks 5

  2.2 Financial and macroeconomic outcomes 8

  2.3 Country characteristics for heterogeneity analysis 9

3 Methodology 11

  3.1 Daily local projections: U.S. and panel yields 11

  3.2 IV normalization: spillover elasticity per unit U.S. yield movement 11

  3.3 Decomposing the U.S. yield channel: risk-free rate versus term premium 12

  3.4 Monthly local projections: macro effects and output spillovers 13

  3.5 Channel decomposition 13

  3.6 Heterogeneity: interacted local projections with time fixed effects 15

4 Results 15

  4.1 Daily yield responses: domestic impact 15

  4.2 Daily yield responses: international spillovers 15

  4.3 Which U.S. yield component transmits: risk-free rate versus term premium 16

  4.4 Spillovers since the onset of COVID 18

  4.5 Monthly U.S. macro responses 18

  4.6 Monthly output spillovers to foreign economies 20

  4.7 Channel decomposition: financial, trade, and exchange rate linkages 23

  4.8 Comparison with a demand-side bond market shock 24

  4.9 Heterogeneity in spillovers 25

5 Conclusion 31

Appendices 33

A Merging and Extending the Shock Series 33

  A.1 Validation: within-window variation, true vs. placebo windows 33

  A.2 Robustness: results on the public (pre-2020) sample 35

B Maturity Extension Shock: Supplementary Results 35

C Granger Causality Pre-Tests 35