The existing literature lacks evidence of the ability of newly introduced credit VIXs to hedge investment-grade and high-yield corporate bond indices. A dynamic hedging analysis shows that credit VIX is an effective hedge for its corresponding bond index, but the hedging ability of high-yield credit VIX for high-yield bonds is more stable and effective than that of investment-grade credit VIX for investment-grade bonds. A regression analysis indicates that conditional correlations decreased during the Fed tightening cycle, resulting in more hedging effectiveness for both credit VIXs; whereas, the hedging effectiveness of high-yield bonds improved around the peak of the COVID-19 outbreak.

中文翻译：

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利用信用VIX对冲投资级和高收益债券

现有文献缺乏证据证明新推出的信贷波动率指数有能力对冲投资级和高收益公司债券指数。动态对冲分析表明，信用VIX对其相应债券指数是有效的对冲，但高收益信用VIX对高收益债券的对冲能力比投资级信用VIX对投资级债券的对冲能力更加稳定和有效。债券。回归分析表明，在美联储紧缩周期中，条件相关性下降，导致信用 VIX 的对冲有效性更高；而高收益债券的对冲有效性在COVID-19爆发高峰前后有所改善。