We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor …

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 …