The efficient market hypothesis and rational expectations macroeconomics. How did they meet and live (happily) ever after? - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue European Journal of the History of Economic Thought Année : 2022

The efficient market hypothesis and rational expectations macroeconomics. How did they meet and live (happily) ever after?

Thomas Delcey

Résumé

This article contributes to the study of the historical relationship between macroeconomics and financial economics. We investigate the interactions, in the 1960s and 1970s, between two research programmes—“rational expectations macroeconomics” (or “new classical macroeconomics”) and the efficient market hypothesis. We uncover the back-and-forth-dialogue between these two research programmes, which took place along the 1970s. We identify Sargent’s contribution on the term structure of interest rates (and ensuing debates) as the starting point of this dialogue. We then highlight how rational expectations models reshaped the definition and assessment of the efficient market hypothesis in financial economics.
Fichier non déposé

Dates et versions

hal-03774313 , version 1 (10-09-2022)

Identifiants

Citer

Thomas Delcey, Francesco Sergi. The efficient market hypothesis and rational expectations macroeconomics. How did they meet and live (happily) ever after?. European Journal of the History of Economic Thought, In press, pp.1-31. ⟨10.1080/09672567.2022.2108869⟩. ⟨hal-03774313⟩
41 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More