Income shocks are widely studied, but expense shocks are usually neglected in modern consumption-savings models. We use a survey linked to credit bureau records to estimate expense shocks’ frequency, size, and financial implications. Expense shocks are more frequent and larger than income shocks. Very large expense shocks are several times more common than very large income drops. When we account for this additional risk in a standard model, our estimates imply: (1) many costly decisions such as loan defaults are driven not by strategic considerations but by expense shocks, (2) smooth consumption implies a lack of liquidity, not an abundance of it, (3) expense shocks explain most precautionary wealth, and (4) expense shocks are more important than income shocks for studying the marginal propensity to consume. Our results and publicly available data allow researchers to account for expense shocks.