My understanding is that when a variable is declared as an exogenous shock, Dynare assumes that it is mean-zero iid with normal distribution, and in the shock block, shock covariance matrix is set. Given that almost always exogenous shocks follow an AR(1) process, would it be possible to specify the autocorrelation parameter of the shock? I can see that the standard way is to write the AR(1) process as one of the equations of the model, but the above suggestion makes it possible to see the policy functions evaluated by Dynare directly in terms of exogenous state variables, which is especially useful in higher (2nd or 3rd) order approximations.

Regards