With an increasingly integrated global …nancial system, we frequently observe that shocks to individual asset markets aect …nancial markets worldwide. The aim of this paper is to quantify the comovements between bond markets in the US and emerging market economies. Following Rigobon (2003) we exploit the changing volatility of the data to fully identify a structural VAR, without imposing ad-hoc restrictions. Our results indicate that shocks that widen emerging market sovereign debt (EMBIG) spreads tend to have a negative eect on US interest rates (consis- tent with ‡ight quality episodes), while the eect of US interest rates on EMBIG spreads is mixed. We also …nd that shocks that raise EMBIG spreads tend to raise US high yield spreads and vice versa, constituting an important channel through which crises in EMEs can aect mature markets. Forecast error variance decompo- sitions show that the variance of both EMBIG and US high yields spreads is mainly explained by shocks to US long rates. JEL classi…cation: C32, F30, G15