An error occurred while installing pg (0.18.2), and Bundler cannot continue

Following Tony Coconate's Rails + Ember.js (with the Ember CLI) tutorial, we are trying to create a new Rails API.

When we run rails new api -T -d postgresql, we get the following error message:

An error occurred while installing pg (0.18.2), and Bundler cannot continue.
Make sure that `gem install pg -v '0.18.2'` succeeds before bundling.

This is what the Gemfile file looks like:

source "https://rubygems.org"

gem "rails", "4.2.1"

gem "activeadmin", github: "gregbell/active_admin" # Until it"s 1.0.0
gem "coffee-rails", "~> 4.0.0"
gem "devise"
gem "grape"
gem "grape-active_model_serializers"
gem "grape-swagger-rails"
gem "jquery-rails"
gem "pg"
gem "rack-cors", require: "rack/cors"
gem "sass-rails", "~> 4.0.3"
gem "uglifier", ">= 1.3.0"

group :development do
  gem "better_errors"
  gem "meta_request"
  gem "quiet_assets"
  gem "spring"
end

group :development, :test do
  gem "capybara"
  gem "capybara-screenshot"
  gem "database_cleaner"
  gem "factory_girl_rails"
  gem "faker"
  gem "poltergeist"
  gem "pry-nav"
  gem "pry-rails"
  gem "pry-stack_explorer"
  gem "pry-theme"
  gem "rspec-rails"
  gem "rubocop"
  gem "shoulda-matchers"
  gem "spring-commands-rspec"
end

When we run bundle install, we get the following error message:

Gem::Ext::BuildError: ERROR: Failed to build gem native extension.

    /Users/user_name/.rvm/rubies/ruby-2.2.1/bin/ruby -r ./siteconf20150629-73521-9m0ocx.rb extconf.rb
checking for pg_config... no
No pg_config... trying anyway. If building fails, please try again with
 --with-pg-config=/path/to/pg_config
checking for libpq-fe.h... no
Can't find the 'libpq-fe.h header
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of necessary
libraries and/or headers.  Check the mkmf.log file for more details.  You may
need configuration options.

Provided configuration options:
    --with-opt-dir
    --without-opt-dir
    --with-opt-include
    --without-opt-include=${opt-dir}/include
    --with-opt-lib
    --without-opt-lib=${opt-dir}/lib
    --with-make-prog
    --without-make-prog
    --srcdir=.
    --curdir
    --ruby=/Users/user_name/.rvm/rubies/ruby-2.2.1/bin/$(RUBY_BASE_NAME)
    --with-pg
    --without-pg
    --enable-windows-cross
    --disable-windows-cross
    --with-pg-config
    --without-pg-config
    --with-pg_config
    --without-pg_config
    --with-pg-dir
    --without-pg-dir
    --with-pg-include
    --without-pg-include=${pg-dir}/include
    --with-pg-lib
    --without-pg-lib=${pg-dir}/lib

extconf failed, exit code 1

Gem files will remain installed in /Users/user_name/.rvm/gems/ruby-2.2.1/gems/pg-0.18.2 for inspection.
Results logged to /Users/user_name/.rvm/gems/ruby-2.2.1/extensions/x86_64-darwin-14/2.2.0-static/pg-0.18.2/gem_make.out
An error occurred while installing pg (0.18.2), and Bundler cannot continue.
Make sure that `gem install pg -v '0.18.2'` succeeds before bundling.

When we run gem install pg -v '0.18.2', we also get an error:

Building native extensions.  This could take a while...
ERROR:  Error installing pg:
    ERROR: Failed to build gem native extension.

    /Users/user_name/.rvm/rubies/ruby-2.2.1/bin/ruby -r ./siteconf20150629-73553-uaymt5.rb extconf.rb
checking for pg_config... no
No pg_config... trying anyway. If building fails, please try again with
 --with-pg-config=/path/to/pg_config
checking for libpq-fe.h... no
Can't find the 'libpq-fe.h header
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of necessary
libraries and/or headers.  Check the mkmf.log file for more details.  You may
need configuration options.

Provided configuration options:
    --with-opt-dir
    --without-opt-dir
    --with-opt-include
    --without-opt-include=${opt-dir}/include
    --with-opt-lib
    --without-opt-lib=${opt-dir}/lib
    --with-make-prog
    --without-make-prog
    --srcdir=.
    --curdir
    --ruby=/Users/user_name/.rvm/rubies/ruby-2.2.1/bin/$(RUBY_BASE_NAME)
    --with-pg
    --without-pg
    --enable-windows-cross
    --disable-windows-cross
    --with-pg-config
    --without-pg-config
    --with-pg_config
    --without-pg_config
    --with-pg-dir
    --without-pg-dir
    --with-pg-include
    --without-pg-include=${pg-dir}/include
    --with-pg-lib
    --without-pg-lib=${pg-dir}/lib

extconf failed, exit code 1

Gem files will remain installed in /Users/user_name/.rvm/gems/ruby-2.2.1/gems/pg-0.18.2 for inspection.
Results logged to /Users/user_name/.rvm/gems/ruby-2.2.1/extensions/x86_64-darwin-14/2.2.0-static/pg-0.18.2/gem_make.out

Any idea of what is wrong, and most importantly, how we can fix it?