Lars Winkelmann, Markus Bibinger, and Tobias Linzert, "ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates", Journal of Applied Econometrics, Vol. 31, No. 4, 2016, pp. 613-629. The two-year (FGBS) and ten-year (FGBL) interest rate Futures contracts used in this paper are the property of the EUREX Group (GER) who do not permit open access. Hence the data cannot be lodged here. The data are held at the Research Data Center (RDC) (http://sfb649.wiwi.hu-berlin.de/fedc/index.php), to whom enquiries concerning access should be addressed. Explanatory surprise variables of the regressions are taken from the Bloomberg terminal via the ECO panel (Bloomberg consensus). Sovereign CDS spreads are taken from Thomson Reuters DATASTREAM with quotes for Germany (DEGAEAC), Italy (ITGAEAC) and the US (USVAEAC). Finally the KOF Swiss Economic Institute provides the KOF Monetary Policy Communicator. A contact person can be find on the KOF webpage (https://www.kof.ethz.ch/de/indikatoren/monetary-policy-communicator/). The file 'wbl-code.txt' contains the R-code for estimating and testing of cojumps. The read-in routine in illustrates the format and naming of the data. This file is an ASCII file in DOS format. It is zipped in the file 'wbl-code.zip'. The PDF document wbl-supplement.pdf contains supplmentary material. Lars Winkelmann lars.winkelmann [AT] fu-berlin.de