Spatial integration and hierarchy in Old-World wine markets : the role of the 2013 CAP reform

We explore the impact of the 2013 Common Agricultural Policy (CAP) reform on spatial price co-movements between the main European Union (EU) wine producer markets (i.e., Spain, France, and Italy). We consider monthly prices from January 2005 to January 2020 and R-Vine copula models, splitting the time period considered in December 2012 to track the changes in (1) the degree of integration, (2) the central markets, and (3) the potential asymmetries after the 2013 CAP reform. The results indicate an increasing overall price dependence from one sub-period to another, with Spain succeeding Italy as the central EU market. We also show asymmetry between Italy and France in the upper tail before 2013 and between Spain and France in the lower tail after 2013.