There is one Excel file with the data and regression results to create Figures 1 to 3 and results in Table 2.  The data worksheets include the construction of the variables used in the VARs and in the Figures. The computer code used to create figures 4 and 5 as well as results in table 2 is in three files representing our three main regimes.  These are Dynare files that can be executed in Matlab. The only differences among these files are in the parameter assignments that define the alternative regimes. All sensitivity testing can be done using any one of these codes with relevant parameter assignments.