  We introduce a new property of Markov chains, called variance bounding. We
prove that, for reversible chains at least, variance bounding is weaker than,
but closely related to, geometric ergodicity. Furthermore, variance bounding is
equivalent to the existence of usual central limit theorems for all $L^2$
functionals. Also, variance bounding (unlike geometric ergodicity) is preserved
under the Peskun order. We close with some applications to Metropolis--Hastings
algorithms.
