The efficient market hypothesis and rational expectations macroeconomics. How did they meet and live (happily) ever after?
Fiche du document
2022
- handle: 10670/1.bmqdez
- hal: hal-03774313
- doi: 10.1080/09672567.2022.2108869
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1080/09672567.2022.2108869
Mots-clés
Term structure macroeconomics and financial economics Fama (Eugene) Lucas (Robert E.) Sargent (Thomas J.) B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B2 - History of Economic Thought since 1925 B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B2 - History of Economic Thought since 1925/B.B2.B22 - Macroeconomics B - History of Economic Thought, Methodology, and Heterodox Approaches/B.B2 - History of Economic Thought since 1925/B.B2.B26 - Financial EconomicsSujets proches
Frontier troubles AnnalsCiter ce document
Thomas Delcey et al., « The efficient market hypothesis and rational expectations macroeconomics. How did they meet and live (happily) ever after? », HAL-SHS : histoire, philosophie et sociologie des sciences et des techniques, ID : 10.1080/09672567.2022.2108869
Métriques
Partage / Export
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.