In this paper we investigate how carry trades have affected the efficiency of the Japanese quantitative easing policy between March 1995 and September 2010. During this period, the Japanese economy was stuck in a liquidity trap. To identify monetary policy shocks, we use a data-driven Structural VAR approach. Thus, our results rely only on the statistical properties of the data through a non-Gaussian identification. We show that carry trades have significantly mitigated the impact of the Quantitative Easing policy on the Japanese industrial production and inflation. Our results clearly reveal that carry trades have moderated the way the Japanese unconventional policy has impacted macroeconomic variables, making such a policy less efficient in the presence of carry trades.