Exiting from QE
---- Acknowledgements ----
We are grateful to James Hamilton, Yuzo Honda, Tatsuyoshi Okimoto, Etsuro Shioji, George Tauchen, and particularly Toni Braun for useful comments and suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. The first author acknowledges financial support from the Ministry of Education, Culture, Sports, Science and Technology of the Japanese government (MEXT Kakenhi Grant Number 25285097).