Message in a Bottle: Forecasting wine prices

Bernardina Algieri, Leonardo Iania, Arturo Leccadito and Giulia Meloni
Additional contact information
Bernardina Algieri: University of Calabria
Arturo Leccadito: University of Calabria
Giulia Meloni: KU Leuven

No 2023004, LIDAM Discussion Papers 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 you choose. We make this point by considering the Liv-ex Fine Wine 100 and 50 Indices, the retail and wholesale alcohol prices in the US for the period going from January 1992 to March 2022. We use rich and multifaceted 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 horizons of twelve months and retail/wholesale alcohol prices at horizons ranging from one month to two years. Our findings stress the importance of including consumer survey data and macroeconomic factors (international factors and mature market equity risk factors) to sharpen predictions of retail/wholesale (fine wine) prices.

Keywords: Liv-ex Fine Wine Indices; Alcohol retail and wholesale prices; Reduction data methods; Forecasting Models (search for similar items in EconPapers)
JEL-codes: C01 C13 C51 C52 E37 G17 (search for similar items in EconPapers)
Pages: 43
Date: 2023-06-22
New Economics Papers: this item is included in nep-agr
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Journal Article: Message in a bottle: Forecasting wine prices (2024)
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