parsimonious (first four columns) and the extended specifications (latter four columns). In the initial three columns of each set—( _I1_ )–( _I3_ ) and ( _I5_ )–( _I7_ ), respectively—we interact the measures separately by channel; while in the final ones—( _I4_ ) and ( _I8_ ), respectively—we consider them all in tandem. These results are reported in Table 3.

The main message one receives from this set of results is that there is little evidence that supports the argument that the sensitivity of transmission channels for unconventional monetary policy changed as a result of QE (with the exception of the interaction with the money supply). By and large, the coefficients on most of the uninteracted variables in Table 3 remain significant (if they were before in Table 1), whereas the coefficients on the interaction terms are generally statistically indistinguishable from zero.<sup>21</sup> The significant, negative coefficient on the interaction of QE and the money supply deserves some comment. First, we note that it enters with a negative sign, which is consistent with the relevance of a liquidity channel being operative, since the rapid expansion of M2 since the financial crisis<sup>22</sup> would have lowered liquidity premia, in turn raising yields on liquid assets that served as substitutes for developing country assets.

That said, we are inclined to somewhat discount this particular result, for a number of reasons. First, we do not observe a similar significance in the interaction effect for the 3-month T-bill rate, which would corroborate the potential importance of elasticity changes along this channel. Second, this coefficient is significant in specifications where the coefficients on the 3-month T-bill rate (interacted and uninteracted) fall out of significance, which raises the concern that the significance of the coefficient could be an artifact of possible multicollinearity, rather than a genuine interaction effect.<sup>23</sup> Finally, although the magnitude of the effect appears fairly large (and would therefore argue for taking this effect into account), this is because of scaling differences; the standardized coefficient for M2 (reported in Table A.7) reveals that it exerts an effect of a similar magnitude the short-term interest rate, which _is_ taken into account for in the uninteracted model.

As a final point, we do note that the coefficient on the (lagged) growth differential and yield curve in ( _I6_ ) is marginally significant, as is the interaction of VIX and QE in ( _I3_ ). However, these enter with the _opposite_ sign. Since our goal is, in any case, not to identify the effects of QE via the

> 21Note also that the insignificant coefficient on the uninteracted QE episode variable in most of the specifications need not be a real cause for concern. For proper inference, the total effect of any given channel has to be inferred from the sum of both the uninteracted and interaction terms, and a weighted standard error computed from the variance-covariance matrix. For example, the marginal effect of the QE episode in specification (I1), computed at the means, is 0.167, with a standard error of 0.02 ( _p_ = 0 _._ 00).

> 22A small but vocal minority of economists have argued that monetary policy following the crisis was actually _contractionary_ , rather than expansionary (Sumner 2009). Our money supply data, which (like the rest of our model) is measured in real terms, actually shows an acceleration of real M2 since mid-2008, although admittedly M2 has lagged its linear trend, mainly because there was a substantial slowdown in M2 expansion between 2004 and 2008.

> 23And as discussed earlier, we favor the T-bill rate since, as a price signal, it offers a potentially faster-reacting measure of effects via the liquidity channel.

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