We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

Two broad classes of consumption dynamics - long-run risks and rare disasters - have proven successful in explaining … model to satisfy the bounds. Finally, the bounds point to multiple volatility components in consumption as a promising …

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some … important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory …

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries … experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A … carry strategy that goes short in countries that are in a consumption bust and goes long in countries with a consumption …

Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable … consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that … households cannot substitute energy consumption by consumption of other nondurables. As a consequence, energy consumption affects …

Standard applications of the consumption-based asset pricing model make the assumption that goods and services within … the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption … bundles and show that households cannot substitute energy consumption by consumption of other nondurable goods or services. As …

We propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its … it is located approximately one standard deviation below the conditional mean of consumption growth. Our single … preferences, and question the effectiveness of the smooth utility framework, which is traditionally used in consumption …

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth - as done in the previous literature on the CCAPM and the pattern of …

Electricity consumption is a useful real-time proxy for economic activities, as most modern-day economic activities … involve the use of electricity, which cannot be easily stored. Empirically, electricity consumption data is widely available … example, we demonstrate that electricity usage is a better measure of spot consumption, as in the CCAPM, and that an …

Electricity consumption is a useful real-time proxy for economic activities, as most modern-day economic activities … involve the use of electricity, which cannot be easily stored. Empirically, electricity consumption data is widely available … residential-commercial electricity usage is a better measure of spot consumption for both time series and cross-sectional CCAPM …