This disconnect is largely a euro area phenomenon, reflecting high cross-border substitutability in https://www.ecb.europa.eu/press/key/date/2020/html/ecb.sp200624~d102335222.en.html  4/13  7/15/2020  The ECB’s monetary policy response to the pandemic: liquidity, stabilisation and supporting the recovery  the absence of currency risks.
By way of contrast, this has not happened in the United States, which helps explain the milder correction in financial conditions on the other side of the Atlantic. Chart 5 Drivers of euro area and US sovereign yields (percentage points)  Source: ECB calculations.