We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. An identified credit shock reflecting an unexpected deterioration in credit market conditions results in an immediate increase in credit spreads, a decrease in yields of Treasury securities, and causes large and persistent downturns in the activity of many economic sectors. Such shocks are found to have important effects on real activity measures, labor market indicators, aggregate prices, and leading indicators. Our identification procedure which imposes restrictions on the impact response of a small number of economic indicators yields interpretable estimated factors.