Borrowing costs in certain countries often move in tandem, meaning volatility in Treasury bonds will create ripples in other debt, according to a recent report from the Institute of International Finance.

“The implications of rising U.S. debt levels are not limited to the domestic economy; they are also likely to trigger significant contagion and spillover effects across global bond markets,” IIF economists wrote on May 22.

“A potential increase in volatility in U.S. Treasury markets—driven by growing market attention to supply-demand dynamics and the composition of borrowing needed to finance anticipated large funding requirements—is likely to transmit to other jurisdictions, though the magnitude of the impact will vary.”

U.S. debt has been top of mind lately as a Republican budget bill moving through Congress is expected to add trillions to the budget deficit in the coming years.

That’s jolted Treasury yields, and weak demand at a 20-year bond auction earlier this month exacerbated fears that investors won’t have an appetite big enough for all the red ink coming soon.

In fact, Deutsche Bank warned there’s a buyer’s strike among foreign investors, who are no longer willing to finance massive U.S. fiscal and trade deficits.

IIF pointed out that there’s a long-standing pattern of sovereign yields moving together, especially in the U.S., U.K., Germany and France, “reflecting the deep interconnections among these economies through trade and capital markets.”

Yield sensitivity is more limited in Japan and other some major emerging markets, according to IIF, but their interconnections were on display recently and showed that volatility can flow in both directions.

A weak auction of 40-year Japanese government bonds on Wednesday sent JGB yields higher—and U.S. Treasury rates as well.

Days earlier, George Saravelos, head of FX research at Deutsche Bank, predicted higher yields for Japanese assets would make them a more attractive alternative for local investors, encouraging further divestment from the U.S.

To be sure, the vastness of the Treasury market and its deep liquidity mean that buyers and sellers will still be drawn to the U.S., but that immense size also crowds out others.

IIF said in its report that there are signs of more sensitivity to rising U.S. debt levels among emerging markets, due in part to a shrinking pool of international capital available to sovereign EM borrowers.

“With the U.S. and Euro Area accounting for over 60% of global cross-border debt portfolios, emerging markets and developing countries represent less than 7%—with many individual countries accounting for only a fraction of a percent,” the report said.