Co-movement of prices in the European wine markets: Αn R-vine copula approach

The present study investigates the spatial price co-movements between the main wine markets of the EU (i.e., Spain, Italy, France, Portugal, Germany and the UK). We include the main wine-producing countries of the EU as well as the most important wine-importing countries, in order to consider both cost-push and demand-pull dynamics. Monthly prices from January 2005 to January 2020 are utilized and R-vine copula models, drawing from a total of 40 copula families for the bivariate copula models, are applied. The results highlight that Italy and Spain act as central markets. The highest degree of price dependence is observed between Italy and Spain, and between Italy and France. On the other hand, the lowest degree of price dependence is found between Spain and Portugal. Asymmetry in the co-movement of prices is shown between Italy and France and between Spain and the UK as well as between Spain and Germany, given the market of Italy, between Spain and France, given the market of Italy, between Italy and Portugal, given the market of Spain and between the UK and Portugal, given the market of Spain.