We investigate market integration in European electricity markets with a focus on Switzerland. Our approach in examining the degree of integration is taking advantage of unilateral demand and supply shocks such as the generation from volatile renewable resources, the unavailability of generation units, and national holidays. These exogenous events affect electricity prices in Switzerland and allow estimating the level of market integration by disentangling their effects in congested and non-congested situations. Exploiting information on congested and non-congested situations in parametric instrumental-variable estimation permits computing but-if prices. That is, we can assess hypothetical,
non-congested Swiss electricity prices in congested situations. Using data on hourly electricity prices and its determinants regarding Switzerland and neighboring countries from 2015 and 2016, we find that an expansion of interconnector capacity at the German-Austrian/Swiss border could decrease Swiss electricity prices. In a more attenuated way, the same holds true for the French/Swiss border, but not for the Italian/Swiss border. For Switzerland as a whole, prices in congested situations are about five percent higher than hypothetical, non-congested prices.