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

Principal Investigator(s): View help for Principal Investigator(s) Renato Faccini, National Bank of Denmark; Seungcheol Lee, Bank of Korea; Ralph Luetticke, University of Tuebingen; Morten O. Ravn, University College London; Tobias Renkin, National Bank of Denmark

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run_data_and_model.sh	application/x-sh	1.2 KB	05/02/2025 01:56:AM

Project Citation:

Faccini, Renato, Lee, Seungcheol, Luetticke, Ralph, Ravn, Morten O., and Renkin, Tobias . Data and Code for: “Financial Frictions: Micro vs Macro Volatility.” Nashville, TN: American Economic Association [publisher], 2026. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2026-01-06. https://doi.org/10.3886/E226681V1

Project Description

Summary: 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.

Funding Sources: European Research Council (DLV 8845598); Lamfalussy Research Fellowship

Scope of Project

Subject Terms: Household consumption; consumer credit spreads; business cycles; monetary policy

JEL Classification:
      D12 Consumer Economics: Empirical Analysis
      D31 Personal Income, Wealth, and Their Distributions
      E32 Business Fluctuations; Cycles
      E52 Monetary Policy
      G51 Household Finance: Household Saving, Borrowing, Debt, and Wealth

Geographic Coverage: Denmark

Time Period(s): 2003 – 2018

Collection Date(s): 9/1/2022 – 12/1/2023

Universe: All households living in Denmark with the exception of the self-employed

Data Type(s): administrative records data; aggregate data

Methodology

Data Source: Administrative records microdata from Statistics Denmark
National Accounts Data from Statistics Denmark
Bank Balance Sheet Data from the National Bank of Denmark

Unit(s) of Observation: households

Geographic Unit: Denmark

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Published Versions

V1 [2026-01-06]

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