We show that the relation between state variables, such as the term spread, and future consumption growth varies signi ficantly over time. Consistent with an Intertemporal CAPM, we nd that state variable risk premiums (in the cross-section of individual stocks) vary over time accordingly: Risk premiums increase by 5% (annualized) when a state variable predicts consumption growth strongly relative to its own history.
This effect is magnifi ed by time-variation in the variance of the state variables, which we argue to be associated to general macroeconomic uncertainty. Our conditional evidence contributes to recent literature that focuses on the unconditional pricing of state variable risk and finds mixed results.

JEL Classi fication Codes: G12
Keywords: Conditional asset pricing models, state variable risk premiums, Intertemporal CAPM, macroeconomic uncertainty, time-varying consumption predictability.

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