Using a dummy variable to model threshold effects

Hi All, I'm new to this thread and very green/inexperienced in using regressions. I'm trying to model threshold effects in a time series analysis - for instance, does an output hike of 5% or greater lead to a different effect on returns than when the output change is less than 5%. Given that I have many other variables I'm trying to manipulate and want to keep things simple, can I uses a dummy variable to model this (i.e. >5% = 1, <5% = 0)? Could I use a dummy variable across multiple independent variables (i.e. Output variable, Cost Variable, etc)?

Any insight or help would be much appreciated. Thank you for your time, and hope to hear more soon!