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On the Constancy of Hedonic Wine Price Coefficients over Time

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  • Faye, Benoît
  • Le Fur, Eric

Abstract

This article tests the stability of the main hedonic wine price coefficients over time. We draw on an extensive literature review to identify the most frequently used methodology and define a standard hedonic model. We estimate this model on monthly subsamples of a worldwide auction database of the most commonly exchanged fine wines. This provides, for each attribute, a monthly time series of hedonic coefficients time series data from 2003 to 2014. Using a multivariate autoregressive model, we then study the stability of these coefficients over time and test the existence of structural or cyclical changes related to fluctuations in general price levels. We find that most hedonic coefficients are variable and either exhibit structural or cyclical variations over time. These findings shed doubt on the relevance of both short- and long-run hedonic estimations. (JEL Classifications: C13, C22, D44, G11)

Suggested Citation

  • Faye, Benoît & Le Fur, Eric, 2019. "On the Constancy of Hedonic Wine Price Coefficients over Time," Journal of Wine Economics, Cambridge University Press, vol. 14(2), pages 182-207, May.
    • Handle: RePEc:cup:jwecon:v:14:y:2019:i:2:p:182-207_5
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    Citations

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    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    2. Heinrich Ursprung, 2020. "Jane Beats Them All: Price Formation and Financial Returns to Investing in Rare Books," CESifo Working Paper Series 8302, CESifo.
    3. Fedoseeva, Svetlana, 2020. "(Dynamic) willingness to pay and e-commerce: Insights from sparkling wine sector in Russia," Journal of Retailing and Consumer Services, Elsevier, vol. 57(C).
    4. Niklas, Britta, 2024. "The effect of South African wine certifications on price premiums and marginal costs: A two-stage hedonic approach," Economic Modelling, Elsevier, vol. 132(C).
    5. Faye, Benoit & Le Fur, Eric, 2024. "Heterogeneous buyer preferences behind rejecting the law of one price in the fine wines market," Economics Letters, Elsevier, vol. 239(C).
    6. Jacobo Núñez & David Martín‐Barroso & Francisco J. Velázquez, 2024. "The hedonic price model for the wine market: A systematic and comparative review of the literature," Agricultural Economics, International Association of Agricultural Economists, vol. 55(2), pages 247-264, March.
    7. Hachmi Ben Ameur & Zied Ftiti & Eric Le Fur, 2024. "What can we learn from the analysis of the fine wines market efficiency?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 703-718, January.
    8. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.

    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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