Data and Code for: "Financial Frictions: Micro vs Macro Volatility"

We argue that consumer credit spreads matter for household choices and that time-varying spreads have important distributional consequences. Studying Danish household data, we show that consumer credit spreads have heterogeneous impact on asset dynamics and consumption choices across the wealth distribution, and that time-variation in spreads induce countercyclical movements in the marginal propensity to consume. We study a HANK-model in which banks provide consumer credit and corporate loans. Through countercyclical credit spreads, frictional finance amplifies aggregate shocks and induces consumption inequality. Economies with less leveraged banks experience reduced aggregate volatility by muting the financial accelerator, but may face higher volatility and lower welfare at the household level.