This paper revisits the conditional mean and volatility density characteristics of the system price settled by the Nordic/Baltic spot electric power market (1993–2017). The main aim of this paper is an analysis of the nonlinear impulse-response features (shocks) in the nonstorable commodity market. Initially, we extract all deterministic seasonality and nonstationary trend and scale features from the series. A strictly stationary model reports serial correlation for the mean, and clustering, asymmetry and level effects for the volatility. For the mean, the impulse-response analysis reports linear and symmetric mean reversion for any price movements. For the volatility, small price movements show symmetric and decreasing volatility. In contrast, for larger absolute price movements, the volatility shows a nonlinear increase as well as fast-growing negative asymmetries. The impulse persistence is therefore relatively short. With the entrance of renewables into the energy market, the subperiod 2008–17 reports major systematic changes in the mean, volatility, asymmetry and persistence. In fact, the renewables era has changed the fundamental features of the Nordic/Baltic electricity market.