Asymmetry in the variance of economic activity: evidence for long-run UK GDP

The purpose is to document the significance of non-linearity in the conditional mean and variance of the long-run annual UK GDP growth rate. In particular, an examination is made of asymmetry in conditional variance with respect to past shocks which implies that the conditional variance is greater, and the conditional variance function steeper, following negative shocks to output growth. Simulations of the estimated model also suggest the potential for complex dynamics including substantial amplitude changes.