To reproduce model results in the paper (Sections 4, 5, and Appendix E), run main.m in MATLAB. On a 16-core AMD Threadripper desktop computer, it takes approximately 2 hours and 40 minutes to run.
To reproduce Figures 1 and 2 in Section 2 (Institutional Background), run makecreditspreadfig.m in the data subfolder.
1: Elenev: Johns Hopkins University, Carey Business School; email: velenev@jhu.edu. Landvoigt: University of Pennsylvania Wharton School, NBER, and CEPR; email: timland@wharton.upenn.edu. Van Nieuwerburgh: Columbia University Graduate School of Business, NBER, and CEPR; email: svnieuwe@gsb.columbia.edu.