Whenever I Drink I Get Cold... To The Point Where

Whenever I drink I get cold... to the point where I shiver. This happens with liquor, wine, and beer and doesn't matter how much I drink. I have read this could be an allergy but nothing else bothers me (no itchiness or any other normal allergic responses). I also get cold throughout the day as if I was anemic or iron deficient (I haven't been tested for either). If either of these were the case would that cause me become freezing when I drink no matter what the temperature is around me?