本文建立一個包含家計部門以及企業家部門之動態隨機一般均衡模型(dynamics stochastic general equilibrium,
DSGE)，並引入家庭生產(home production)以及借貸限制(credit constraint)。我們利用此模型解釋負向借貸衝擊下，消費和產出的同步衰退，以及捕捉台灣耐久財支出佔產出比例的逆循環(counter-cyclical)現象。藉由分析此理論模型，我們得出三個重要發現：首先，當家庭生產相對於市場商品之佔有份額足夠大時，負向借貸衝擊將能促使消費和產出產生同步衰退。其次，家庭消費與家庭市場消費之間若存在較大的替代彈性，不僅可以解釋台灣耐久財支出佔產出比例的逆循環現象，還能捕捉台灣耐久財支出波動程度較為緩和的景氣循環表現。最後，當家計部門面對的投資調整成本係數越大，說明耐久財支出的波動程度越穩定，此時耐久財支出佔產出比例的波動程度也會越穩定。

In this thesis, I develop a Dynamic Stochastic General Equilibrium (DSGE) model, which incorporates both home production and credit constraints. I use the model to explain the synchronized declines in consumption and output under negative credit shocks, and to capture the counter-cyclical phenomenon of the proportion of durable goods expenditure to output in Taiwan. The key findings from this theoretical model are as follows. First, when the share of market goods relative to home production in a household's utility is sufficiently large, a negative credit shock leads to synchronized declines in consumption and output. Second, when the substitutability between home consumption and market consumption is high, the model generates the volatile durable goods expenditure, thereby capturing the counter-cyclical phenomenon of the proportion of durable goods expenditure to output in Taiwan. Finally, when the household faces a higher extensity of the investment adjustment costs, the durable goods expenditure displays more stable, leading to reduced volatility in the proportion of durable goods expenditure to output.

論文審定書 ..................................................................i
誌謝..............................................................................ii
摘要.............................................................................iii
Abstract ......................................................................iv
第一章 緒論.................................................................1
1.1 研究動機................................................................1
1.2 文獻回顧................................................................4
1.3 文章安排................................................................7
第二章 資料敘述.........................................................8
第三章 基本模型.......................................................11
3.1 家計部門..............................................................11
3.2 企業家部門..........................................................15
3.3 總體均衡..............................................................20
第四章 模型主要結果...............................................21
4.1 參數校準..............................................................21
4.2 基準模型..............................................................24
4.2.1 負向借貸衝擊...................................................24
4.2.2 市場商品技術衝擊...........................................25
4.2.3 家庭商品技術衝擊...........................................25
4.3 敏感性分析..........................................................26
4.3.1 市場商品佔有份額...........................................27
4.3.2 家庭市場消費以及家庭消費之替代彈性.......30
4.3.3 投資調整成本.................................................. 33
4.3.4 耐久財支出佔產出比例與產出相關係數...... 35
第五章 結論...............................................................38
圖形與表格................................................................39
參考文獻....................................................................60
附錄 A -靜止均衡解...................................................65
附錄 B-線性化方程式................................................67
附錄 C -借貸限制束縛證明.......................................70
附錄 D-借貸限制與市場商品技術衝擊關係............71

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