We show that sovereign debt rollover risk depreciates exchange rates, increases CDS prices, and decreases bond prices. Using granular bond data to construct each country’s maturity structure, we provide the first evidence that many countries experience changes in their maturity structures over time, with considerable crosscountry variation. We then leverage the mechanical rebalancing of a local-currency government bond index to identify exogenous capital flows and demonstrate that the effects of these shocks on exchange rates, CDS prices, and bond prices are significantly amplified when countries face high sovereign debt rollover risk. We further find that short-maturity bonds are the most sensitive to these shocks, underscoring the potential short-term risks faced by emerging market economies.