Volatility linkages between energy and wine prices in South Africa
Energy prices (for fuel and electricity) and energy price volatility impact wine prices. In the long run, we find a clear link between fuel and wine prices, implying that the two markets positively influence each other to the extent that a change in fuel prices influences wine prices. In the short run, we find that past volatility from wine prices as well as shocks from other markets, i.e., fuel and electricity, influence the current wine prices.