In this paper, we aim to assess and model the dependence structure between crop yields and prices, by using a copula approach. The study is conducted on a database of French farms by considering cereal and wine productions for years 2014 to 2016. We find that the dependence between prices and yields is relatively high and can be described with the Frank copula. It is strongly influenced by high temperatures. Since wine prices are fixed on local markets and cereal prices follow global market trends, a potential market for an income insurance would be more suitable for cereal producers.