This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. To this end, we use an extensive dataset covering all announcements by the three major agencies (Standard & Poor's, Moody's, Fitch) and daily sovereign bond market movements of up to 73 developed and emerging countries between 1994 and 2011. On the basis of an explicit counterfactual and controlling for important dimensions of the announcement environment, we find asymmetric reactions to upgrades and downgrades. While there is strong evidence of negative spillover effects in response to sovereign downgrades, positive spillovers from upgrades are much more limited. Our results also suggest that negative spillover effects are more pronounced for countries within the same region. This does not appear to be due to (measurable) fundamental linkages and similarities, such as trade, which turn out to be strikingly insignificant.