Abstract
This study investigates the relationship between wholesale electricity price behaviour and the integration of new renewable energy sources in the electricity system in Portugal. The research analyses two different samples, namely: the significant deployment of wind power versus the abrupt increase in the installed capacity of solar photovoltaic. Daily data from 2011 until 2019 and, a SARMAX/EGARCH approach has been conducted to assess the merit-order effect. The main results suggest that electricity production from wind power is decreasing the price of electricity but increasing its volatility. In addition, there is evidence for the leverage effect in electricity price.
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