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The impact of renewables on spillover effects in electricity markets

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  • Schischke, Amelie
  • Rathgeber, Andreas

Abstract

To address climate change, the EU is rapidly increasing renewable energy in its electricity mix. While supporting decarbonization, this transition raises concerns about market stability, particularly regarding price volatility and price jumps. This study investigates how renewable energy integration impacts volatility spillovers in European electricity markets using the Diebold-Yilmaz spillover index and a dynamic rolling window analysis.

Suggested Citation

  • Schischke, Amelie & Rathgeber, Andreas, 2025. "The impact of renewables on spillover effects in electricity markets," Applied Energy, Elsevier, vol. 399(C).
    • Handle: RePEc:eee:appene:v:399:y:2025:i:c:s030626192501219x
    DOI: 10.1016/j.apenergy.2025.126489
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    JEL classification:

    • Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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