A Reference-Dependent Fiscal Theory of Self-Fulfilling Price Levels

主讲人

王鹏飞

讲座时间

2026年10月30日（周五）13:30

讲座地点

25B615

01 主讲人介绍

王鹏飞，北京大学博雅特聘教授、北京大学汇丰商学院院长，主要研究领域为宏观经济学、金融经济学、货币经济学，是宏观经济学界最具影响力的华人经济学家之一。

王鹏飞教授的研究成果丰硕， 已在American Economic Review, Econometrica, Journal of Finance, Journal of Financial Economics, Journal of Monetary Economics, American Economic Journal: Macroeconomics, Journal of Economic Theory等国际顶级期刊上发表论文五十多篇，在动态随机一般均衡理论、资产泡沫与金融危机、多重均衡与内生经济波动、中国宏观经济研究等领域取得了令人瞩目的研究成果。主持国家级人才项目1项、主持原创探索计划项目1项、香港大学教育资助委员会资助的基础研究项目6项，曾获教育部长江讲座教授和浦山世界经济学优秀论文奖等荣誉。2024年1月，当选经济学理论促进学会（SAET）会士，成为首位获此殊荣的华人宏观经济学家。

02 讲座内容

This paper develops a Fiscal Theory of the Price Level under expectations-based reference-dependent preferences. Loss aversion over government bond holdings generates self-fulfilling inflation panic through a feedback loop between perceived downside risk and bond valuations. In equilibrium, inflation can fluctuate solely from self-fulfilling expectations, with no change in fiscal or other fundamentals. The model accounts for several empirical facts: (i) path-dependent volatility of inflation and bond returns, (ii) an upward-sloping nominal yield curve, (iii) predictability in long-term bond excess returns, and (iv) discount-rate news explaining over half of unexpected inflation. A fiscal policy that adjusts nominal debt supply in response to inflation uncertainty eliminates sunspot equilibria. This offers a novel perspective on fiscal forward guidance as an expectations-coordination device.