Dear all,

have you any ideas how to implement an exogenous stochastic shock to a standard New-Keynesian Model with Dynare where agents form constant expectations for this shock process over time?

For example

var x pi;

varexo s;

x = x(+1) -1/sigma(i-pi(+1)) + s

pi = pi(+1) + kappa x

i = tau_pi*pi + tau_x*x

shock;

var s = 0.01^2;

end;

the variable s is exogenous and stochastic in nature. However, I would like agents to form expectations about s in a stationary way, so that E_t(s(t+1))=s(t) for all t in the future, albeit s might be a completely random number.

I would appreciate it if anybody can offer a hint on how to implement this expectations scheme in Dynare.

All my best,

wiknam