Frederick Macaulay



Frederick Robertson Macaulay (August 12, 1882 – March 1970) was a
Canadian Canadians (french: Canadiens) are people identified with the country of Canada. This connection may be residential, legal, historical or cultural. For most Canadians, many (or all) of these connections exist and are collectively the source of ...
economist An economist is a professional and practitioner in the social sciences, social science discipline of economics. The individual may also study, develop, and apply theories and concepts from economics and write about economic policy. Within this ...
of the Institutionalist School. He is known for introducing the concept of
bond duration In finance, the duration of a financial asset that consists of fixed cash flows, such as a Bond (finance), bond, is the weighted average of the times until those fixed cash flows are received. When the price of an asset is considered as a functio ...
. 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 The New York Stock Exchange (NYSE, nicknamed "The Big Board") is an American stock exchange in the Financial District of Lower Manhattan in New York City New York, often called New York City or NYC, is the List o ...
(Macaulay and Durand, 1951). The term "Macaulay duration" is named after him. Macaulay was born in Montreal to a family influential in Montreal business; his father, Thomas Bassett Macaulay, was a well-known actuary

He obtained his bachelor's and master's degrees from the
University of Colorado The University of Colorado (CU) is a system A system is a group of interacting or interrelated elements that act according to a set of rules to form a unified whole. A system, surrounded and influenced by its environment, is described b ...
in 1909 and 1920, respectively. He also obtained a law degree in 1911. In 1924, he obtained a PhD from
Columbia University Columbia University (also known as Columbia, and officially as Columbia University in the City of New York) is a Private university, private research university in New York City. Established in 1754 as King's College on the grounds of Trinity ...
. Macaulay worked at the
National Bureau of Economic Research The National Bureau of Economic Research (NBER) is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic ...
from 1921 until 1938. He also taught at the New School of Social Research. In 1923 he was elected as a
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of the
American Statistical Association The American Statistical Association (ASA) is the main professional organization for statisticians and related professionals in the United States. It was founded in Boston, Massachusetts on November 27, 1839, and is the second oldest continuously ...
.List of ASA Fellows
, retrieved 2016-07-16. In 1938, Macaulay became research director of the Twentieth Century Fund.

Selected writings

*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. *


External links

Frederick Macaulay, Frank Redington and the Emergence of Modern Fixed Income Analysis
Geoffrey Poitras, Simon Fraser University * Canadian economists 1882 births 1970 deaths Fellows of the American Statistical Association 20th-century American economists Macaulay family of Lewis {{US-economist-stub