Probably any Russian you meet will be able to tell you this, purely based on empirical/experiential evidence, but alcohol does actually warm you up. Especially red wines.
More than just being a psychological effect of red wine being associated with, blazing open hearths, bear skin rugs, wrapping yourself up in a blanket and clinking glasses to begin what is bound to be a warm and steamy eve. The tanins and histamines from red grape skin actually react with your body, to help heat itself.
Furthermore, alcohol in general dilates the blood vessels which increases blood flow, throughout the body and to the extremities. Combine that with the tanins of red wine and one can understand why so few people naturally turn to a glass of red on a warm summers day.
The official verdict is that red wine makes you warmer. Serves a pretty darn good excuse to nip in for a glass of red or shot of vodka next time you find yourself trawling the streets in the freezing cold.