  The U.S. electrical grid has undergone substantial transformation with
increased penetration of wind and solar -- forms of variable renewable energy
(VRE). Despite the benefits of VRE for decarbonization, it has garnered some
controversy for inducing unwanted effects in regional electricity markets. In
this study, the role of VRE penetration is examined on the system electricity
price and price volatility based on hourly, real-time, historical data from six
Independent System Operators (ISOs) in the U.S. using quantile and skew
t-distribution regressions. After correcting for temporal effects, we found an
increase in VRE penetration is associated with decrease in system electricity
price in all ISOs studied. The increase in VRE penetration is associated with
decrease in temporal price volatility in five out of six ISOs studied. The
relationships are non-linear. These results are consistent with the modern
portfolio theory where diverse volatile assets may lead to more stable and less
risky portfolios.
