• Scenarios

Scenarios

Until now, Dynare's interface provides for

• IRFs: response to one unexpected shock in first period
• Sequence of expected shocks
• forecasts: transition from initial conditions to steady state, without shocks

It would be desirable to generalize these features so as to provide for the specification of more general scenarios that include

• sequence of unexpected shocks
• setting current or future values of endogenous variables as in conditional forecast
• fan charts

The current specification of shocks is a good point of departure, because it is concise for short sequences. Its only drawback is the name collision for VAR being VARiable or VARiance depending on the context. However, using it also for endogenous variables precludes to call it SHOCKS. I propose SCENARIO for the more general interface:

SCENARIO;
variable sequence;
....
END;

variable sequence:

VARIABLE variable name;
EXPECTED/UNEXPECTED; (expected variable is the default)
NEWSDATE period; (optional)
PERIODS list of periods;
VALUES list of values;

• A variable may be endogenous or exogenous
• A variable may appear several times in the list as EXPECTED or UNEXPECTED, the values add up for the same period (may be useful for news shocks)
• For complicated information schemes, the date of learning about future shock may be specified. Without NEWSDATE, expected shocks are learned at the beginning of simulation and unexpected ones on the date of their realization.