Exogenous expectations on endogenous uncertainty: recursive equilibrium and survival

This paper analyses general equilibrium models with finite heterogeneous agents having exogenous expectations on endogenous uncertainty. It is shown that there exists a recursive equilibrium with the state space consisting of the past aggregate portfolio distribution and the current state of the nature and that it implements the sequential equilibrium. We establish conditions under which the recursive equilibrium is continuous. Moreover, we use the continuous recursive relation of the aggregate variables to prove that if the economy has two types of agents, the one who commits persistent mistakes on the expectation rules of the future endogenous variables is driven out of the market by the others with correct anticipations of the variables, that is, the rational expectations agents.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

Uncertainty of aid inflows and the growth relationship

This paper contributes to the literature on aid and economic growth. We posit that it is not the levei of aid flows per se but the stability of such flows that determines the impact of aid on economic growth. Three measures of aid instability are employed. One is a simple deviation from trend, and measures overall instability. The other measures are based on auto-regressive estimates to capture deviations from an expected trend. These measures are intended to proxy for uncertainty in aid receipts. We posit that such uncertainty will influence the relationship between aid and investment and how recipient governments respond to aid, and will therefore affect how aid impacts on growth. We estimate a standard cross-country growth regression including the leveI of aid, and find aid to be insignificant (in line with other results in the literature). We then introduce measures of instability. Aid remains insignificant when we account for overall instability. However, when we account for uncertainty (which is negative and significant), we find that aid has a significant positive effect on growth. We conduct stability tests that show that the significance of aid is largely due to its effect on the volume of investment. The finding that uncertainty of aid receipts reduces the effectiveness of aid is robust. When we control for this, aid appears to have a significant positive influence on growth. When the regression is estimated for the sub-sample of African countries these findings hold, although the effectiveness of aid appears weaker than for the full sample.

The effects of uncertainty about the timing of deals on consumer behavior

I examine the effects of uncertainty about the timing of de aIs (i.e. temporary price cuts or sales) on consumer behavior in a dynamic inventory model of consumer choice. I derive implications for purchase behavior and test them empirically, using two years of scanner data for soft drinks. I fmd that loyal consumers' decisions, both about the allocation of their purchases over time and the quantity to be purchased in a particular deal, are affected by the uncertainty about the timing of the deal for the product. Loyal consumers buy a higher fraction of their overall purchases during de ais as the uncertainty decreases. This effect increases with an increase in the product' s share of a given consumer' s purchase in the same category or if the consumer stockpiles (i.e., is a shopper). During a particular deal, loyal shoppers increase the quantity they purchase the more time that has passed since the previous de aI, and the higher the uncertainty about the deals' timing. For the non-Ioyal consumers these effects are not significant. These results hold for products that are frequently purchased, like soft-drinks and yogurt, but do not hold for less frequentIy purchased products, such as laundry detergents. The fmdings suggest that manufacturers and retailers should incorporate the effects of deals' timing on consumers' purchase' decisions when deriving optimal pricing strategies.

Especulative (sic) attack on exchange rate target zone regime : the uncertainty case

We present a continuous time target zone model of speculative attacks. Contrary to most of the literature that considers the certainty case, i.e., agents know for sure the Central Bank behavior in the future, we build uncertainty into the madel in two different ways. First, we consider the case in whicb the leveI of reserves at which the central bank lets the regime collapse is uncertain. Alternatively, we ana1ize the case in which, with some probability, the government may cbange its policy reducing the initially positive trend in domestic credito In both cases, contrary to the case of a fixed exchange rate regime, speculators face a cost of launching a tentative attack that may not succeed. Such cost induces a delay and may even prevent its occurrence. At the time of the tentative attack, the exchange rate moves either discretely up, if the attack succeeds, or down, if it fails. The remlts are consistent with the fact that, typically, an attack involves substantial profits and losses for the speculators. In particular, if agents believed that the government will control fiscal imbalances in the future, or alternatively, if they believe the trend in domestic credit to be temporary, the attack is postponed even in the presence of a signal of an imminent collapse. Finally, we aIso show that the timing of a speculative attack increases with the width of the target zone.

A notion of subgame perfect nash equilibrium under knightian uncertainty

We define a subgame perfect Nash equilibrium under Knightian uncertainty for two players, by means of a recursive backward induction procedure. We prove an extension of the Zermelo-von Neumann-Kuhn Theorem for games of perfect information, i. e., that the recursive procedure generates a Nash equilibrium under uncertainty (Dow and Werlang(1994)) of the whole game. We apply the notion for two well known games: the chain store and the centipede. On the one hand, we show that subgame perfection under Knightian uncertainty explains the chain store paradox in a one shot version. On the other hand, we show that subgame perfection under uncertainty does not account for the leaving behavior observed in the centipede game. This is in contrast to Dow, Orioli and Werlang(1996) where we explain by means of Nash equilibria under uncertainty (but not subgame perfect) the experiments of McKelvey and Palfrey(1992). Finally, we show that there may be nontrivial subgame perfect equilibria under uncertainty in more complex extensive form games, as in the case of the finitely repeated prisoner's dilemma, which accounts for cooperation in early stages of the game .

Comprehensive two-dimensional gas chromatography with time-of-flight mass spectrometry combined with solid phase microextraction as a powerful tool for quantification of ethyl carbamate in fortified wines. The case study of Madeira wine

An analytical methodology based on headspace solid phase microextraction (HS-SPME) combined with comprehensive two-dimensional gas chromatography—time-of-flight mass spectrometry (GC × GC–ToFMS) was developed for the identification and quantification of the toxic contaminant ethyl carbamate (EC) directly in fortified wines. The method performance was assessed for dry/medium dry and sweet/medium sweet model wines, and for quantification purposes, calibration plots were performed for both matrices using the ion extraction chromatography (IEC) mode (m/z 62). Good linearity was obtained with a regression coefficient (r2) higher than 0.981. A good precision was attained (R.S.D. <20%) and low detection limits (LOD) were achieved for dry (4.31 μg/L) and sweet (2.75 μg/L) model wines. The quantification limits (LOQ) and recovery for dry wines were 14.38 μg/L and 88.6%, whereas for sweet wines were 9.16 μg/L and 99.4%, respectively. The higher performance was attainted with sweet model wine, as increasing of glucose content improves the volatile compound in headspace, and a better linearity, recovery and precision were achieved. The analytical methodology was applied to analyse 20 fortified Madeira wines including different types of wine (dry, medium dry, sweet, and medium sweet) obtained from several harvests in Madeira Island (Portugal). The EC levels ranged from 54.1 μg/L (medium dry) to 162.5 μg/L (medium sweet).

Development of a novel microextraction by packed sorbent-based approach followed by ultrahigh pressure liquid chromatography as a powerful technique for quantification phenolic constituents of biological interest in wines

A novel analytical approach, based on a miniaturized extraction technique, the microextraction by packed sorbent (MEPS), followed by ultrahigh pressure liquid chromatography (UHPLC) separation combined with a photodiode array (PDA) detection, has been developed and validated for the quantitative determination of sixteen biologically active phenolic constituents of wine. In addition to performing routine experiments to establish the validity of the assay to internationally accepted criteria (linearity, sensitivity, selectivity, precision, accuracy), experiments are included to assess the effect of the important experimental parameters on the MEPS performance such as the type of sorbent material (C2, C8, C18, SIL, and M1), number of extraction cycles (extract-discard), elution volume, sample volume, and ethanol content, were studied. The optimal conditions of MEPS extraction were obtained using C8 sorbent and small sample volumes (250 μL) in five extraction cycle and in a short time period (about 5 min for the entire sample preparation step). The wine bioactive phenolics were eluted by 250 μL of the mixture containing 95% methanol and 5% water, and the separation was carried out on a HSS T3 analytical column (100 mm × 2.1 mm, 1.8 μm particle size) using a binary mobile phase composed of aqueous 0.1% formic acid (eluent A) and methanol (eluent B) in the gradient elution mode (10 min of total analysis). The method gave satisfactory results in terms of linearity with r2-values > 0.9986 within the established concentration range. The LOD varied from 85 ng mL−1 (ferulic acid) to 0.32 μg mL−1 ((+)-catechin), whereas the LOQ values from 0.028 μg mL−1 (ferulic acid) to 1.08 μg mL−1 ((+)-catechin). Typical recoveries ranged between 81.1 and 99.6% for red wines and between 77.1 and 99.3% for white wines, with relative standard deviations (RSD) no larger than 10%. The extraction yields of the MEPSC8/UHPLC–PDA methodology were found between 78.1 (syringic acid) and 99.6% (o-coumaric acid) for red wines and between 76.2 and 99.1% for white wines. The inter-day precision, expressed as the relative standard deviation (RSD%), varied between 0.2% (p-coumaric and o-coumaric acids) and 7.5% (gentisic acid) while the intra-day precision between 0.2% (o-coumaric and cinnamic acids) and 4.7% (gallic acid and (−)-epicatechin). On the basis of analytical validation, it is shown that the MEPSC8/UHPLC–PDA methodology proves to be an improved, reliable, and ultra-fast approach for wine bioactive phenolics analysis, because of its capability for determining simultaneously in a single chromatographic run several bioactive metabolites with high sensitivity, selectivity and resolving power within only 10 min. Preliminary studies have been carried out on 34 real whole wine samples, in order to assess the performance of the described procedure. The new approach offers decreased sample preparation and analysis time, and moreover is cheaper, more environmentally friendly and easier to perform as compared to traditional methodologies.

A fast method using a new hydrophilic–lipophilic balanced sorbent in combination with ultra-high performance liquid chromatography for quantification of significant bioactive metabolites in wines

This manuscript describes the development and validation of an ultra-fast, efficient, and high throughput analytical method based on ultra-high performance liquid chromatography (UHPLC) equipped with a photodiode array (PDA) detection system, for the simultaneous analysis of fifteen bioactive metabolites: gallic acid, protocatechuic acid, (−)-catechin, gentisic acid, (−)-epicatechin, syringic acid, p-coumaric acid, ferulic acid, m-coumaric acid, rutin, trans-resveratrol, myricetin, quercetin, cinnamic acid and kaempferol, in wines. A 50-mm column packed with 1.7-μm particles operating at elevated pressure (UHPLC strategy) was selected to attain ultra-fast analysis and highly efficient separations. In order to reduce the complexity of wine extract and improve the recovery efficiency, a reverse-phase solid-phase extraction (SPE) procedure using as sorbent a new macroporous copolymer made from a balanced ratio of two monomers, the lipophilic divinylbenzene and the hydrophilic N-vinylpyrrolidone (Oasis™ HLB), was performed prior to UHPLC–PDA analysis. The calibration curves of bioactive metabolites showed good linearity within the established range. Limits of detection (LOD) and quantification (LOQ) ranged from 0.006 μg mL−1 to 0.58 μg mL−1, and from 0.019 μg mL−1 to 1.94 μg mL−1, for gallic and gentisic acids, respectively. The average recoveries ± SD for the three levels of concentration tested (n = 9) in red and white wines were, respectively, 89 ± 3% and 90 ± 2%. The repeatability expressed as relative standard deviation (RSD) was below 10% for all the metabolites assayed. The validated method was then applied to red and white wines from different geographical origins (Azores, Canary and Madeira Islands). The most abundant component in the analysed red wines was (−)-epicatechin followed by (−)-catechin and rutin, whereas in white wines syringic and p-coumaric acids were found the major phenolic metabolites. The method was completely validated, providing a sensitive analysis for bioactive phenolic metabolites detection and showing satisfactory data for all the parameters tested. Moreover, was revealed as an ultra-fast approach allowing the separation of the fifteen bioactive metabolites investigated with high resolution power within 5 min.

Quantification of polyphenols with potential antioxidant properties in wines using reverse phase HPLC

A RP-HPLC method with photodiode array detection (DAD) was developed to separate, identify and quantify simultaneously the most representative phenolic compounds present in Madeira and Canary Islands wines. The optimized chromatographic method was carefully validated in terms of linearity, precision, accuracy and sensitivity. A high repeatability and a good stability of phenolics retention times (a3%) were obtained, as well as relative peak area. Also high recoveries were achieved, over 80.3%. Polyphenols calibration curves showed a good linearity (r2 A0.994) within test ranges. Detection limits ranged between 0.03 and 11.5 lg/mL for the different polyphenols. A good repeatability was obtained, with intra-day variations less than 7.9%. The described method was successfully applied to quantify several polyphenols in 26 samples of different kinds of wine (red, ros and white wines) from Madeira and Canary Islands. Gallic acid was by far the most predominant acid. It represents more than 65% of all phenolics, followed by p-coumaric and caffeic acids. The major flavonoid found in Madeira wines was trans-resveratrol. In some wines, (–)-epicatechin was also found in highest amount. Canary wines were shown to be rich in gallic, caffeic and p-coumaric acids and quercetin.

Comparison of the quantification of caffeine in human plasma by gas chromatography and ELISA

In the present study we evaluated the precision of the ELISA method to quantify caffeine in human plasma and compared the results with those obtained by gas chromatography. A total of 58 samples were analyzed by gas chromatography using a nitrogen-phosphorus detector and routine techniques. For the ELISA test, the samples were diluted to obtain a concentration corresponding to 50% of the absorbance of the standard curve. To determine whether the proximity between the I50 of the standard curve and that of the sample would bring about a more precise result, the samples were divided into three blocks according to the criterion of difference, in modulus, of the I50 of the standard curve and of the I50 of the sample. The samples were classified into three groups. The first was composed of 20 samples with I50 up to 1.5 ng/ml, the second consisted of 21 samples with I50 ranging from 1.51 to 3 ng/ml, and the third of 17 samples with I50 ranging from 3.01 to 13 ng/ml. The determination coefficient (R² = 0.999) showed that the data obtained by gas chromatography represented a reliable basis. The results obtained by ELISA were also reliable, with an estimated Pearson correlation coefficient of 0.82 between the two methods. This coefficient for the different groups (0.88, 0.79 and 0.49 for groups 1, 2 and 3, respectively) showed greater reliability for the test with dilutions closer to I50.

Polyhydroxybutyrate in Rhizobium and Bradyrhizobium: quantification and phbC gene expression

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)