Incorporating Oil Prices in DSGE

What you seem to have in mind is estimating a regime-switching model, which you cannot do in Dynare (but in Junior Maih’s RISE toolbox)

Regarding shifts in steady state in Dynare: you seem to have a model in mind where a shift in oil prices shifts the approximation point (in constrast to models with balanced growth paths where you can simply detrend by the unit root variable). For simulation purposes, you could simply specify oil prices as a unit root process. For short horizons you will be close to the original approximation point so there is no problem. With estimation, things become tricky (unless you detrend oil prices to make the BGP in your model hold). You might also want to look at [Using dummy variables in dynare)