In this paper, we identify three exogenous shocks to credit market: demand for credit, supply of funds into the financial system, and the willingness to lend of financial institutions (financial intermediation), and also, determine the contribution of these shocks to fluctuations in the credit market and overall economic activity. We estimate a structural vector autoregression model where the three credit shocks are identified with a set of sign restrictions motivated by a simple partial equilibrium model of financial intermediation. We find that the credit demand shock explains significantly the variations in the long-term loan rate proxied by the Moody’s Baa corporate bond yield, while the supply of funds shock contributes to most of the fluctuations in the short-term commercial paper rate. The financial intermediation shock drives most of the fluctuations in the quantity of loans as well as the spread between the Baa and commercial paper rates. Of the credit shocks, we find that the financial intermediation shock has the largest impact on real economic activity. In fact, our analysis implies that the sharp decline in output during the 2007–2009 financial crisis is largely attributable to the financial intermediation shock, along with shocks originating outside of the financial system.

在本文中，我们确定了对信贷市场的三大外部冲击：信贷需求，向金融系统的资金供应以及金融机构的放贷意愿（金融中介），并确定了这些冲击对信贷市场波动的影响。信贷市场和整体经济活动。我们估计了一种结构矢量自回归模型，其中通过一组简单的金融中介局部均衡模型所激发的符号限制来识别三种信用冲击。我们发现，信贷需求冲击在很大程度上解释了穆迪Baa公司债券收益率所代表的长期贷款利率的变化，而资金供应的冲击是造成短期商业票据利率波动的主要原因。金融中介的冲击推动了贷款数量以及Baa和商业票据利率之间的价差的大部分波动。在信贷冲击中，我们发现金融中介冲击对实体经济活动的影响最大。实际上，我们的分析表明，在2007年至2009年的金融危机期间，产出的急剧下降主要归因于金融中介冲击以及源自金融体系外部的冲击。