The most recent dramatic increases in European Gas and Electricity prices demonstrate how vulnerable Europe is to energy supply shocks. We investigate the transmission of shocks from natural gas prices to local electricity prices in 21 European electricity markets. Using a quantile connectedness model, we find that the vulnerability of electricity markets in Europe varies both over time and across quantiles. Natural gas price shocks have a significant and nearly symmetrical impact on extreme quantiles of electricity prices. However, for moderate price changes, there is a disconnection between electricity and natural gas markets. We also identify the European countries that are most and least vulnerable to shocks in natural gas prices, which is due to differing energy mixes for electricity production. This novel vulnerability index has implications for the development of country-specific regulations and energy policies aimed at reducing the reliance on natural gas in European economies, combating energy poverty, and promoting the growth of renewable energy sources
