Message in a bottle: Forecasting wine prices

Bernardina Algieri, Leonardo Iania (), Arturo Leccadito and Giulia Meloni
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Leonardo Iania: Université catholique de Louvain, LIDAM/LFIN, Belgium

No 2024006, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Abstract: Can we predict fine wine and alcohol prices? Yes, but it depends on the forecasting horizon. We make this point by considering the Liv-ex Fine Wine 100 and 50 Indices, the retail and wholesale alcohol prices in the United States for the period going from January 1992 to March 2022. We use rich and diverse datasets of economic, survey, and financial variables as potential price drivers and adopt several combination/dimension reduction techniques to extract the most relevant determinants. We build a comprehensive set of models and compare forecast performances across different selling levels and alcohol categories. We show that it is possible to predict fine wine prices for the 2-year horizon and retail/wholesale alcohol prices at horizons ranging from 1 month to 2 years. Our findings stress the importance of including consumer survey data and macroeconomic factors, such as international economic factors and developed markets equity risk factors, to enhance the precision of predictions of retail/wholesale (fine wine) prices.

Keywords: Liv-ex Fine Wine Indices; alcohol retail and wholesale prices; dimensionality reduction; forecasting models (search for similar items in EconPapers)
JEL-codes: C01 C13 C51 C52 E37 G17 (search for similar items in EconPapers)
Pages: 28
Date: 2024-05-07
Note: In: Journal of Wine Economics, 2024, vol. 19, p. 64-91
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Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlr:2024006

DOI: 10.1017/jwe.2024.3

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