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

This paper benefitted, at an early stage, of the helpful and encouraging comments from Aurélien Goutsmedt, Mauro Boianovsky, and Ed Nelson. We are also grateful for the suggestions we have received in a number of seminars and conferences while presenting our work, notably the A. O. Hirschman seminar (Université Paris 1 Panthéon-Sorbonne), the 2019 History of Economics Society Annual Conference in New York, and the University of the West of England Economics Seminar. This version of our work has been greatly improved by the remarks of two anonymous referees; we thank them both for their careful reading and suggestions.International audienceThis 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