In Norway. The net effect is lower prices, but because Denmark has little investment in load following capacity (The bulk of the coal plants are heat and power, and thus, cannot be turned off or even significantly down in the current weather) most of the load balancing is done by norvegian hydro, which buys wind power low and sells water power back dear later. This is not a technical problem, or even a problem for its green credentials  - Water behind the norwegian dams is a limited resource, so to the extent that the number of electrons traded back and forth in this manner sum to zero, they do displace fossil fuels in the end, but since this is done via trading, the bulk of the savings are transferred to the customers of the norwegian utilities, while the subsidy is paid in DK.

Note that if "imports and exports balance" is key to making even the green argument: Norway has no significant fossil generation and will not build any under any circumstances, so net exports merely displace norwegian investment in carbon neutral power, which is not a gain, since the danish power sector is overall the worst CO2 emitter in europe.