The changes in ITRXX CDS spreads are in a file itrx.xlsx (not provided).  

The STATA file eaproc.do combines these with ECB monetary policy shocks (Dataset_EA-MPD) to construct the credit surprises which are stored in itrx.xlsx.  The results in Table 2 are also generated in this program.  The process
of running this do file creates a STATA dataset called eaproc.

The STATA dta file ecbissuance contains the data for net nonfinancial corporate bond issuance.  The original
file includes the credit surprises but they have been deleted.

The STATA do file ecbissuance runs the results for Table 3.  It calls the STATA dta file ecbissuance.  However it will not run, because the credit surprises have been deleted from the dataset.

The MATLAB file makefigs1.m creates figure 1.  It needs the credit spreads in itrx.xlsx (not provided).

The STATA do file csppdataset runs the results for Table 5.  It calls the STATA dta file csppdataset.  The original file includes corporate bond prices, but they have been deleted.

The file code_jmcb.R contains the R code used to generate results in the paper.
Due to data licenses' requirements, we cannot provide the used time series - all file loading operations remain in the code with the names of the files to indicate the data sets that were used.
This script is separated into blocks:
- Code for generating Figures 2, 3, and 5 - functions for plotting
- Forecasts of vols under P - code used to generate volatility forecasts under the physical measure P - a component required for the VRP calculation
- MFIV calculations - calculation of model-free implied vols - a component required for the VRP calculation
- VRP calculations
- Functions for calculating local projections under various model specifications
- Calculating local projections for various series - functions that call functions for calculating local projections under various model specifications for considered time series
- Function for generating plots of local projections
- Script for generating the graphs of local projections - loads data, calls functions for calculating local projections for various series, and generates plots
- Script containing code used to generate results related to bond issuance
