Sweden, Norway, Finland, Iceland and apparently some parts of Canada have government owned shops.
I guess it's all to inflate the price to the ridicule in an attempt to reduce the consumption. Can't blame them, they do indeed drink a lot.
Speaking only for Sweden, it's not simply that they raise prices, it's more that they flatten them. So a $10 bottle of Vodka will cost you $35, but a $120 bottle of whisky might cost you $80. For example I was very surprised when I was in England a few years ago and found that certain British ales I enjoy where cheaper in the Swedish government monopoly shop than in the English supermarket.