Exiting from quantitative easing

Fumio Hayashi, Junko Koeda

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime-switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

Original languageEnglish
Pages (from-to)1069-1107
Number of pages39
JournalQuantitative Economics
Issue number3
Publication statusPublished - 2019 Jul


  • Bank of Japan
  • C13
  • C32
  • C54
  • E52
  • E58
  • Effective lower bound
  • Taylor rule
  • impulse responses
  • monetary policy
  • structural vector autoregression

ASJC Scopus subject areas

  • Economics and Econometrics


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