Raw data used in the VAR analysis are in the files:
CRB Commodity Price Index.txt 
Federal Funds Rate.txt
Implicit Price Index of Consumer Durables Expenditure.txt
Implicit Price Index of Consumer Nondurables Expenditure.txt
Implicit Price Index of Residential Investment.txt
Implicit Price Index of Services.txt
Nominal Consumer Durables Expenditure.txt
Nominal Consumer Nondurables Expenditure.txt
Nominal Residential Investment.txt
Nominal Sevices.txt
Real Compensation per Hour in the Nonfarm Business Sector.txt

The matlab script data_varinput transforms these files and generates the data we used in our VAR.

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The file cg_m.mod is the Dynare file used to generate the results of the models with and without real wage rigidities. The results in Table 2, Figures 2-4 are generated using this file by simply changing the value of the parameters thetac, thetax, and gamma. 
The file cg_nsw.mod is the Dynare file used to generate the results of the model with nominal wage rigidities. The plus-marked impulse response functions in Figure 4 are generate using this file.

