Are Port wine export markets integrated? Evidence from price transmission across countries

Souza, Francisca Mendonça; Gouveia, Sofia; Ramser, Cláudia Aline de Souza; Souza, Adriano Mendonça; Coronel, Daniel Arruda

doi:10.1590/1806-9479.2026.296651

person Francisca Mendonça Souza

Study design · Data collection · Analysis and interpretation · Writing of the manuscript · Critical review

schoolInstituto Politécnico de Setúbal, Departamento de Economia e Gestão (IPS), Setúbal, Portugal. E-mail: kikamatcom@gmail.com

0000-0003-3011-0086

person Sofia Gouveia

Study design · Data collection · Analysis and interpretation · Writing of the manuscript · Critical review

schoolDepartamento de Economia, Sociologia e Gestão, Escola de Ciências Humanas e Sociais (UTAD), Universidade de Trás-os-Montes e Alto Douro, Vila Real, Portugal. E-mail: sgouveia@utad.pt

0000-0001-9680-0114

person Cláudia Aline de Souza Ramser

Study design · Data collection · Analysis and interpretation · Writing of the manuscript · Critical review

schoolDepartamento de Estatística (DSTC), Universidade Federal de Santa Maria (UFSM), Santa Maria (RS), Brasil. E-mails: claudiaramser@hotmail.com; amsouza.sm@gmail.com

0000-0003-4737-4563

person Adriano Mendonça Souza

Writing of the manuscript · Critical review

schoolDepartamento de Estatística (DSTC), Universidade Federal de Santa Maria (UFSM), Santa Maria (RS), Brasil. E-mails: claudiaramser@hotmail.com; amsouza.sm@gmail.com

0000-0002-1562-2246

person Daniel Arruda Coronel

Writing of the manuscript · Critical review

schoolDepartamento de Economia e Relações Internacionais (DERI), Universidade Federal de Santa Maria (UFSM), Santa Maria (RS), Brasil. E-mail: daniel.coronel@uol.com.br

0000-0003-0264-6502

groupsAuthors’ contributions:

FMS: Study design, Data collection, Analysis and interpretation, Writing of the manuscript, Critical review. SF: Study design, Data collection, Analysis and interpretation, Writing of the manuscript, Critical review. CASR: Study design, Data collection, Analysis and interpretation, Writing of the manuscript, Critical review. AMS: Writing of the manuscript, Critical review. DAC: Writing of the manuscript, Critical review.

Conflicts of interest:

There is no conflict of interest.

person*Corresponding author: Daniel Arruda Coronel.
emaildaniel.coronel@uol.com.br

Associate Editor:

Reisoli Bender Filho

	BE	FR	NL	UK	US
(a) Descriptive Statístics
Mean	1.293	1.258	1.221	1.629	2.066
Maximum	1.552	1.481	1.506	2.423	2.784
Minimum	0.981	0.999	1.037	1.222	1.659
Std. Dev.	0.063	0.054	0.083	0.147	0.162
CV	4.9%	4.3%	6.8%	9.0%	7.8%
Skewness	-0.165	-0.073	0.026	1.728	0.366
Kurtosis	5.304	5.716	2.858	10.186	4.030
Jarque-Bera	62.310 **	85.097 **	0.263	731.248 **	18.361 **
ADF	-8.188 **	-4.791 **	-5.244 **	-9.252 **	-3.489 **
KPSS	0.180 *	0.116	0.122	0.213	0.197
Obs.	276	276	276	276	276

(b) Pearson Correlation
	BE	FR	NL	UK	US
FR	0.405 **
NL	0.422 **	0.616 **
UK	0.076	0.046	0.081
US	0.089	0.209 **	0.163 **	0.393 **

		BE	FR	NL	UK	US
Regressors		FR, NL, UK, US	BE, NL, UK, US	BE, FR, UK, US	BE, FR, NL, US	BE, FR, NL, UK
Number of specifications evaluated		342,732	342,732	342,732	342,732	342,732
Selected Model		ARDL(1, 0, 0, 0, 0)	ARDL(1, 1, 0, 0, 0)	ARDL(3, 0, 2, 0, 0)	ARDL(1, 0, 1, 0, 0)	ARDL(4, 0, 1, 0, 0)

F-Bounds Test		29.593	45.747	12.499	23.527	5.545

Finite Sample (n=80)	10%	3.644	4.230	4.230	4.230	3.644
Critical Values	5%	4.216	4.840	4.840	4.840	4.216
	1%	5.512	6.164	6.164	6.164	5.512

Breusch-Godfrey Serial	χ²	4.109	3.079	0.471	0.654	1.712
Correlation LM Test	p-value	0.128	0.215	0.790	0.721	0.425

Heteroskedasticity Test:	χ²	6.642	7.452	18.516	11.910	13.623
Breusch-Pagan-Godfrey	p-value	0.249	0.383	0.047	0.104	0.136

	BE			FR			NL			UK			US
(a) Full Model

Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
BE(t-1)	–	–	–	0.235	0.057	0.000	0.107	0.074	0.149	0.218	0.232	0.348	-0.379	0.518	0.465
FR(t-1)	0.273	0.109	0.013	–	–	–	0.706	0.149	0.000	-0.793	0.431	0.067	2.905	–	0.005
NL(t-1)	0.219	0.071	0.002	0.178	0.056	0.002	–	–	–	0.777	0.289	0.008	–	0.544	0.063
UK(t-1)	0.022	0.034	0.524	-0.012	0.020	0.546	0.085	0.032	0.009	–	–	–	0.539	0.197	0.007
US(t-1)	-0.003	0.032	0.927	0.045	0.018	0.013	-0.013	0.030	0.672	0.346	0.083	0.000	–	–	–

(b) Reduced Model

Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
BE(t-1)	–	–	–	0.233	0.057	0.000	–	–	–	–	–	–	–	–	–
FR(t-1)	0.271	0.108	0.013	–	–	–	0.757	0.139	0.000	–	–	–	–	–	–
NL(t-1)	0.222	0.070	0.002	0.174	0.056	0.002	–	–	–	0.665	0.268	0.014	0.494	0.217	0.024
UK(t-1)	–	–	–	–	–	–	0.086	0.031	0.005	–	–	–	–	–	–
US(t-1)	–	–	–	0.041	0.017	0.015	–	–	–

	BE			FR			NL			UK			US
(a) Full Model
Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
CointEq(t-1)	-0.709	0.058	0.000	-0.920	0.060	0.000	-0.646	0.081	0.000	-0.562	0.051	0.000	-0.224	0.042	0.000
Days to recover	42			33			46			53			134
Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
CointEq(t-1)	-0.707	0.058	0.000	-0.914	0.060	0.000	-0.626	0.080	0.000	-0.560	0.052	0.000	-0.203	0.050	0.000
Days to recover	42			33			48			54			148

	BE			FR			NL			UK			US
(a) Full Model
Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
Const.	0.463	0.038	0.000	0.587	0.039	0.000	0.259	0.006	0.005	0.425	0.041	0.000	-0.161	0.032	0.000
@TREND	–	–	–	-1.7E-04	0.000	0.000	3.5E-04	0.000	0.000	–	0.000	0.001	–	–	–
ΔY(t-1)	–	–	–	–	–	–	-0.305	0.073	0.000	-0.393	0.065	0.000	–	–	–
ΔY(t-2)	–	–	–	–	–	–	-0.176	0.057	0.002	-0.218	0.066	0.001	-0.156	0.058	0.008
ΔBEl(t)	–	–	–	0.105	0.036	0.004	–	–	–	0.019	0.136	0.887	0.327	0.130	0.013
ΔFR(t)	–	–	–	–	–	–	0.137	0.059	0.022	–	–	–	–	–	–
ΔFR(t-1)	–	–	–	–	–	–	-0.163	0.060	0.007	–	–	–	–	–	–
Adjusted R²	0.353			0.457			0.483			0.308			0.313

(b) Reduced Model

Variable	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value	Coeff.	S.E.	p-value
Const.	0.481	0.039	0.000	0.579	0.038	0.000	0.034	0.007	0.000	0.154	0.020	0.000	0.259	0.063	0.000
@TREND	–	–	–	-1.7E-04	0.000	0.000	3.4E-04	0.000	0.000	–	0.000	0.000	–	–	–
ΔY(t-1)	–	–	–	–	–	–	-0.319	0.072	0.000	-0.408	0.069	0.000	–	–	–
ΔY(t-2)	–	–	–	–	–	–	-0.183	0.057	0.002	-0.231	0.069	0.001	-0.161	0.060	0.008
ΔBEl(t)	–	–	–	0.104	0.036	0.005	–	–	–	–	–	–	–	–	–
ΔFR(t)	–	–	–	–	–	–	0.149	0.060	0.014	–	–	–	–	–	–
ΔFR(t-1)	–	–	–	–	–	–	-0.168	0.061	0.006	–	–	–	–	–	–
Adjusted R²	0.351			0.456			0.479

Δ y_{t} = μ + λ t + α (β_{0} y_{t - 1} - \sum_{j = 1}^{k} β_{j} x_{j, t - 1}) + \sum_{i = 1}^{r} ρ_{i} Δ y_{t - i} + \sum_{i = 0}^{s_{j}} \sum_{j = 1}^{k} γ_{j i} Δ x_{j, t - i} + ε_{t}

[1] Notes: * significant at 5%; ** significant at 1%. Souce: Elaborated by the authors.

Are Port wine export markets integrated? Evidence from price transmission across countries

Os mercados de exportação de vinho do Porto estão integrados? Evidências da transmissão de preços entre países