Frederick Macaulay

Frederick Robertson Macaulay (August 12, 1882 - March,1970) was an economist of the InstitutionalistSchool. He is known for introducing the concept of bond duration.Macaulay's contributions also include a mammothempirical study of the time series behavior of interest ratespublished 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 Montrealbusiness. 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 obtaineda PhD from Columbia University.

Macaulay worked at the National Bureau of Economic Researchfrom 1921 until 1938. He also taught at the
New School of Social Research (1921-1826). In 1938, Macaulay became research director of the Twentieth Century Fund.

ources

Macaulay, F. (1910), "Money, credit and the price of securities", University of Colorado.

Macaulay, F. (1938), "The Movements of Interest Rates. Bond Yields and Stock Prices in the United States since 1856", New York: National Bureau of Economic Research.

Macaulay, F. and Durand D. (1951), "Short selling on the New York Stock Exchange", New York: Twentieth Century Fund.

[http://www.nber.org National Bureau of Economic Research]

[http://economics.ca/cgi/cps?year=2006&paper=0400&task=abstract Frederick Macaulay, Frank Redington and the Emergence of Modern Fixed Income Analysis] Geoffrey Poitras, Simon Fraser University