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Message in a Bottle: Forecasting wine prices

Author

Listed:
  • Algieri, Bernardina

    (University of Calabria)

  • Iania, Leonardo

    (Université catholique de Louvain, LIDAM/LFIN, Belgium)

  • Leccadito, Arturo

    (University of Calabria)

  • Meloni, Giulia

    (KU Leuven)

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.

Suggested Citation

  • Algieri, Bernardina & Iania, Leonardo & Leccadito, Arturo & Meloni, Giulia, 2023. "Message in a Bottle: Forecasting wine prices," LIDAM Discussion Papers LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
    • Handle: RePEc:ajf:louvlf:2023004
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    References listed on IDEAS

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    More about this item

    Keywords

    Liv-ex Fine Wine Indices ; Alcohol retail and wholesale prices ; Reduction data methods ; Forecasting Models;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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