TY  - GEN
AU  - Brichetti, Juan Pablo
AU  - Cavallo, Eduardo A.
AU  - Roch, Francisco
TI  - When Is the Sovereign Greenium a Scarcity Price? Green Supply, Market Depth, and Cross-Country Evidence
PY  - 2026
Y1  - 2026/10/30
DO  - 10.18235/0014596
AB  - We study how the sovereign greenium, the yield discount on green relative to conventional sovereign bonds, varies with green-bond supply and sovereign-market depth across countries. Using daily bond observations with week fixed effects on 104 sovereign green bonds in 29 countries over 2019-2025, we construct a bond-level synthetic greenium and document facts consistent with a relative-scarcity channel. A parsimonious multi-country framework shows how segmented demand for green assets, arising from investment mandates or investor preferences, can interact with limited and endogenous certified supply to generate a scarcity premium. Because certified supply responds to the greenium, the frameworks negative supply prediction applies to observational regressions when variation is supply-driven. Lower sovereign green supply relative to the debt market is associated with higher greeniums: one percentage point of relative green supply is associated with a 2.5 basis point lower greenium. The negative association persists when relative supply is computed using a time-invariant, country-specific measure of market size. The relation is one between slow-moving market structures rather than a response to individual issues. Under the baseline time controls it is concentrated in emerging markets; the advanced-economy difference is sensitive to the treatment of common time shocks. Across countries, greeniums are higher in riskier sovereigns, and within countries the greenium compresses in acute sovereign stress, though both patterns rest almost entirely on Egypt. The highest-greenium sovereigns in the issue-sizes sample lack large green issues, a descriptive pattern consistent with thin green-market segments.
UR  - https://doi.org/10.18235/0014596
ER  -