Tobias Frere-Jones designed Grand Central http://www.fontbureau.com/fonts/GrandCentral/ based on late 1920s Beaux Arts capital letters hand-painted on the walls of Grand Central Station in New York City. This style of letter originated with the French Oldstyle letters by Louis Perrin in Lyons in 1846. In Europe it is Elzevir and in the U.S. it was De Vinne -- different from the digital font that now uses the De Vinne name.
Previous Braux Arts fonts thread http://typophile.com/node/44559 Not very helpful.
Don

EDIT: It appears that Don and I had the same idea...

The graphic style derives from the architectural style of the same name. In the US, notable buildings in the style include Grand Central Terminal and the New York Public Library in NYC and Union Stations in Washington, D.C., and Chicago. In the UK, you have Selfridge’s and 14 Prince's Gate in London and Barrow-in-Furness Main Public Library, to name a few.

If I had to describe the typographic style, I’d say it references classical models (Roman stone inscriptions), but experiments with proportions and decorative elements, much like the architecture.

You’ll want to focus your search on typefaces designed between 1880 and 1920, or revivals of type from that era.

A beaux-arts revival typeface and similar typefaces:
http://www.fontbureau.com/fonts/GrandCentral/
http://www.identifont.com/find?similar=Grand+Central&q=Go

Some other beaux-arts resources that might prove helpful:
http://typophile.com/node/44559
http://guity-novin.blogspot.com/2012/03/graphic-design-and-french-school...
http://en.wikipedia.org/wiki/Beaux-Arts_architecture
http://books.google.com/books?id=0kf0AwAAQBAJ&lpg=PA52&ots=FBWyW3zE0r&dq...

Beaufort