As to the requirement to use micro data, it is known that aggregation can blur identification of important parts of the behaviour of economic agents. So, studies at the aggregate level often fail to find an economically significant relation between investment and the user cost of capital, a relation of the utmost importance for the transmission of monetary policy.
This failure is attributed in literature to the so-called simultaneity bias. Using micro data allows alleviating these problems. Moreover, micro data allow analysing important economic questions that cannot be addressed using aggregate data sets. This is precisely the case if one wants to identify the existence of financial frictions, because here the individual balance sheet position of the particular firm matters.