The risk connectedness between international crude oil market and Chinese asset markets: From the perspective of common and idiosyncratic information
研究了WTI原油与中国棕色/绿色资产的风险关联，发现双向因果关系且原油与棕色资产关联更强，共同和特质因素分别驱动波动和溢出强度。
This paper explores the risk connectedness between the WTI crude oil market and China's brown/green assets from the perspective of common and idiosyncratic information. We employ the Generalized Dynamic Factor Model (GDFM) to decompose market returns into common-factor-driven and idiosyncratic-factor-driven components, then use GARCH family models to estimate Value at Risk (VaR) for these components. Pattern Causality (PC) is applied to test causal relationships, and the TVP-VAR-DY spillover index method measures time-varying spillover characteristics. Empirical results reveal bidirectional causality between the two markets, dominated by positive patterns. The risk linkage between crude oil and brown assets is stronger than with green assets. Both common and idiosyncratic factors drive connectedness: common factors cause linkage fluctuations, while idiosyncratic factors dominate spillover magnitude.