Hi Paul, did you get your macaw from a breeder, a pet shop or is he/she a re-home? Could you also give the approx. age of your bird, this will help give us an idea to what the problem could be. It could well be that the bird is home-sick, it is very early days and my guess is that he is still settling into his new surroundings.
I hope someone else will chip in and give you another opinion.