We investigate the impact of U.S. monetary policy on bond yields across 33 countries during the period of January 2015 to August 2023, with a focus on the COVID-19 pandemic. Employing wavelet techniques, we find significant spillover effects of U.S. interest rate adjustments on both advanced and emerging economies, particularly during the pandemic. Advanced economies tend to display stronger co-movements with the U.S. while emerging economies exhibit more volatile responses based on their financial structures and ties to the U.S. market. China demonstrates a relatively autonomous financial response compared to other countries, even during the pandemic. Our findings highlight the importance of proactive policymaking and investment strategies to mitigate adverse effects on financial stability.