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_pipi + tau_xx
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