How much less does sustainability-labelled sovereign debt yield than its
identical conventional twin? German green Bunds matched to their conventional twins.
Greenium = (conventional − green) yield, in basis points.
Headline greenium (identical twins)
Pooled across all German twin pairs; block-bootstrap 95% CI.
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Greenium term structure
Recent greenium (bp) vs current years-to-maturity.
Greenium over time
Weekly pooled greenium with a dispersion band; overlay an individual twin pair.
Shaded = stress windows (COVID, 2022 rate shock).
overlay pair
Raw vs liquidity-adjusted
Pair×date FE panel. The gap between raw and liquidity-adjusted is the
liquidity premium embedded in the raw spread.
By-pair greenium & sign stability
A genuine greenium should be consistently signed across pairs.
Refutation: placebo & liquidity-only
Placebo: a conventional bond's deviation from the conventional curve should be
~0 (CI spans 0), so the greenium is not a mechanical maturity/curve artefact. Green legs sit
below that curve. Liquidity-only: the greenium that survives at equal liquidity.