A recent study1 from Danmarks Nationalbank shows how the ECB's assetpurchase programme had a clear spillover effect on Danish bond mar1  See Jakob Roager Jensen, Jakob Guldbæk Mikkelsen and Morten Spange, The ECB's unconventional monetary policy and the role of exchange rate regimes in cross-country spillovers, Danmarks Nationalbank Working Paper, no. 119, August 2017. Page 7 of 9  kets.
Since the beginning of the ECB's QE-programme, the reaction of Danish sovereign bonds has been very much in line with German bonds. This is the case even though no official bond purchases took place in Denmark. Therefore, we should also be prepared for the opposite effect when the ECB starts to roll back its unconventional measures.