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30 octobre 2019
- handle: 10670/1.o54wvo
- hal: hal-03897365
- doi: 10.1017/jwe.2019.24
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info:eu-repo/semantics/altIdentifier/doi/10.1017/jwe.2019.24
Mots-clés
Auction price Hedonic function MAR Wine price C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C13 - Estimation: General C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes D - Microeconomics/D.D4 - Market Structure, Pricing, and Design/D.D4.D44 - Auctions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsSujets proches
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Benoit Faye et al., « On the Constancy of Hedonic Wine Price Coefficients over Time », HAL-SHS : économie et finance, ID : 10.1017/jwe.2019.24
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Résumé
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)