In this paper, we study the role of households’ access to credit in aggregate consumption fluctuations. We show that household-level volatility in consumer credit is similar in magnitude to labour income volatility for households with consumer debt, and that the aggregate shocks that explain the largest share of consumption surprises resemble changes in credit supply. Motivated by these empirical findings, we develop a New Keynesian model with heterogeneous households and financial intermediaries with time-varying risk appetite. In the model, an increase in intermediary risk aversion leads to a higher risk premium on household debt, which lowers borrowing and aggregate consumption. When outstanding household debt is high or intermediary wealth is low, credit supply shocks are amplified.