TY  - JOUR
AU  - Adrian,Tobias
AU  - Colla,Paolo
AU  - Shin,Hyun Song
TI  - Which Financial Frictions?  Parsing the Evidence from the Financial Crisis of 2007-9
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18335
PY  - 2012
Y2  - August 2012
UR  - http://www.nber.org/papers/w18335
L1  - http://www.nber.org/papers/w18335.pdf
N1  - Author contact info:
Tobias Adrian
Federal Reserve Bank of New York
Capital Market Research
33 Liberty Street
New York, NY 10045
Tel: 212-720-1717
Fax: 212-720-1582
E-Mail: tobias.adrian@ny.frb.org

Paolo Colla
Department of Finance, room 2-D2-08
Università Bocconi
Via Röntgen 1
20136 Milano, Italy
E-Mail: paolo.colla@unibocconi.it

Hyun Song Shin
Department of Economics
Princeton University
Princeton, NJ 08544
Tel: 609/258-4467
Fax: 609/258-0771
E-Mail: hsshin@princeton.edu
M2  - featured in NBER digest on 2013-01-01
M3  - presented at "ISOM", June 15-16, 2012
AB  - The financial crisis of 2007-9 has sparked keen interest in models of financial frictions and their impact on macro activity.  Most models share the feature that borrowers suffer a contraction in the quantity of credit.  However, the evidence suggests that although bank lending to firms declines during the crisis, bond financing actually increases to make up much of the gap.  This paper reviews both aggregate and micro level data and highlights the shift in the composition of credit between loans and bonds.  Motivated by the evidence, we formulate a model of direct and intermediated credit that captures the key stylized facts.  In our model, the impact on real activity comes from the spike in risk premiums, rather than contraction in the total quantity of credit.
ER  -