The role of carry trades on the effectiveness of Japan's quantitative easing

摘要

This paper investigates how carry trades altered the efficiency of the Japanese quantitative eas-ing policy between March 1995 and September 2010.Monetary policy shocks are identified by means of a data-driven Structural VAR approach.Accordingly,our results rely exclusively on the statistical properties of the data through non-Gaussian identification.We show that carry trades,by altering the portfolio re-balancing channel,have attenuated the impact of the Japanese quan-titative easing policy on growth.