The impact of renewables on spillover effects in electricity markets

Amelie Schischke and Andreas Rathgeber

Applied Energy, 2025, vol. 399, issue C, No S030626192501219X

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.

Keywords: Energy transition; Renewables; European electricity markets; Volatility spillovers; Diebold-Yilmaz index (search for similar items in EconPapers)
JEL-codes: C32 C5 Q2 Q42 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:399:y:2025:i:c:s030626192501219x

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DOI: 10.1016/j.apenergy.2025.126489

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