Martin Kliem and Alexander Meyer-Gohde, "(Un)expected Monetary Policy Shocks and Term Premia", Journal of Applied Econometrics, Vol. 37, No. 3, 2022, pp. 477-499. All files are ASCII files in DOS format. They are zipped in the file kmg-files.zip. Unix/Linux users should use "unzip -a". The file histTermPremium.csv contains the historical nominal 10-year term premium estimated in the paper and corresponding estimates in the literature. The variables (explained in more detail in the main paper) are the following: column 1: Date column 2-9: historical estimates in the literature (2) Bernanke, Reinhart, Sack (3) Rudebusch and Wu (4) Kim and Wright (as estimate by Rudebusch and Swanson) (5) Adrian, Criump, Moench (6) Bauer (7) Bauer, Rudebusch and Wu (OLS) (8) Bauer, Rudebusch and Wu (BC) (9) Kim and Wright (update from FRED II) column 10-12: model estimates (10) Model Benchmark (11) Model Benchmark smoothed long (12) Model Robustness check long sample Run the Matlab file "TermPremium_Comparison.m" to get Figure 1 of the main paper as well as Figure 6 of the online appendix. The file ObservablesEstimation.csv contains the transformed data for the benchmark estimation as described in Section 3 of the paper. All files and the online appendix are zipped in the file KMG_files.zip For further questions don't hesitate to contact us: Alexander Meyer-Gohde, meyer-gohde [AT] econ.uni-frankfurt.de Martin Kliem, martin.kliem [AT] bundesbank.de