Résumé
In this paper, we carry out an econometric analysis for Germany, as a country with high penetration of renewable energy sources (RES), in order to investigate impact of wind energy and photovoltaic feed-in on electricity spot price level, the so-called merit-order effect. We have used an ARMA-X-GARCH-X modeling where wind generation and photovoltaic are considered as exogenous variables included in the mean and the variance equation, in order to assess the joint impact of RES on the electricity spot price level as well as on spot price volatility in Germany. Our main empirical findings suggest that wind power and photovoltaic feed-in decreases electricity spot price. However, their impact on electricity spot prices volatility is quite different. Indeed, the solar photovoltaic power has a lowering on impact electricity price volatility, whereas the wind feed-in exacerbates it.