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Asymmetric dynamics in UK real interest rates

This paper explores the long run behaviour and short run dynamics of quarterly UK real interest rates, 1950–1999, in a threshold autoregressive framework. Using bootstrap LR extensions of the Enders and Granger (1998) threshold unit root and asymmetry tests, it finds support for sign and amplitude asymmetric mean reversion. These findings provide one explanation for the apparent persistence in real interest rates and are consistent with asymmetric feedback rules for inflation targeting.