Ok, some of my suggestions if you really want to transfer:
1. Sit in those Ph.D. seminars in finance. You would get exposure to different fields in finance and may get a more focused interest.
2. Try to contact with any of the finance professors in your business school and offer free RA service during the summer. But before you do that, read some of their papers so you can find a good target. I bet those data-intensive assistant professors might be interested. By doing this and if you do a good job, you could get a recommendation letter saying something about your research ability in finance field (your advisor can only say something about your research ability in your current field).
3. Apply for some top econ PhD programs as well. Econ programs recruit much more students and your chance might be better. You can still write dissertation in financial economics and get on the finance job market when you graduate.
I agree with bernanke. We all know that admissions to PhD program in finance are extremely competitive, so you should also consider the circumstance that you fail to transfer. Do you want to waste another year? Will you be able to remain your current status? Conducting research in finance is not necessarily easier than that in economics.