Frederick Macaulay
Encyclopedia
Frederick Robertson Macaulay (August 12, 1882 – March 1970) was an economist
of the Institutionalist School. He is known for introducing the concept of bond duration
. Macaulay's contributions also include a mammoth empirical study of the time series behavior of interest rates published in 1938 and a study of short selling on the New York Stock Exchange
(Macaulay and Durand, 1951).
Macaulay was born in Montreal to a family influential in Montreal business. He obtained his Bachelor's and Master's degrees from the University of Colorado
in 1909 and 1920, respectively. He also obtained a law degree in 1911. In 1924, he obtained a PhD from Columbia University
.
Macaulay worked at the National Bureau of Economic Research
from 1921 until 1938. He also taught at the New School of Social Research. In 1938, Macaulay became research director of the Twentieth Century Fund.
Economics
Economics is the social science that analyzes the production, distribution, and consumption of goods and services. The term economics comes from the Ancient Greek from + , hence "rules of the house"...
of the Institutionalist School. He is known for introducing the concept of bond duration
Bond duration
In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received....
. Macaulay's contributions also include a mammoth empirical study of the time series behavior of interest rates published in 1938 and a study of short selling on the New York Stock Exchange
New York Stock Exchange
The New York Stock Exchange is a stock exchange located at 11 Wall Street in Lower Manhattan, New York City, USA. It is by far the world's largest stock exchange by market capitalization of its listed companies at 13.39 trillion as of Dec 2010...
(Macaulay and Durand, 1951).
Macaulay was born in Montreal to a family influential in Montreal business. He obtained his Bachelor's and Master's degrees from the University of Colorado
University of Colorado at Boulder
The University of Colorado Boulder is a public research university located in Boulder, Colorado...
in 1909 and 1920, respectively. He also obtained a law degree in 1911. In 1924, he obtained a PhD from Columbia University
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
.
Macaulay worked at the National Bureau of Economic Research
National Bureau of Economic Research
The National Bureau of Economic Research is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic community." The NBER is well known for providing start and end...
from 1921 until 1938. He also taught at the New School of Social Research. In 1938, Macaulay became research director of the Twentieth Century Fund.
External links
- National Bureau of Economic Research
- Frederick Macaulay, Frank Redington and the Emergence of Modern Fixed Income Analysis Geoffrey Poitras, Simon Fraser University