This paper investigates cross-border spillover effects from the Eurosystem’s Public Sector Purchase Program (PSPP) on euro area government bond returns. We distinguish between the direct effects of domestic bond purchases by national central banks and the indirect effects from bond purchases by national central banks in other euro area countries over the period March 2015–December 2018. The results reveal substantial spillover effects across the euro area, providing evidence for arbitrage within euro area sovereign bond markets. These spillover effects are particularly large for longer-term bonds and for bonds issued by non-core countries. The larger impact of spillovers in these cases can be explained by investors rebalancing towards higher-yielding government bonds.