Son leaving European capital in expensive coat (4)
I believe the answer is:
mink
'expensive coat' is the definition.
(I've seen this in another clue)
'son leaving european capital' is the wordplay.
'son' becomes 's' (genealogical abbreviation for son).
'leaving' suggests deleting specific letters.
'european capital' becomes 'minsk' (capital of Belarus).
'minsk' with 's' taken out is 'MINK'.
'in' is the link.
(Other definitions for mink that I've seen before include "Rodent bred for fur" , "(Fur from) small carnivore" , "Member of weasel family prized for its fur" , "(Animal prized for its) fur" , "Animal with valued fur" .)