Financial Frictions: Micro versus Macro Volatility

• 成果类型: Article
• 署名作者: Faccini, Renato; Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O.; Renkin, Tobias
• 署名单位: Bank of Korea; Eberhard Karls University of Tubingen; Centre for Economic Policy Research - UK; University of London; University College London
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20211219
• 发表日期: 2026-02
• 页码: 464-501
• 关键词: monetary-policy; AGENCY COSTS; net worth; credit; consumption; expenditure; consistent; constraints; MODEL; RISK

摘要

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-varying spreads induce a countercyclical marginal propensity to consume. We study a HANK model where 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 but may face higher volatility and lower welfare at the household level. (JEL D12, D31, E12, E21, E32, E52, G51)