A stylized fact in markets seems to be that there is a negative correlation between interest rates and corporate spreads - as interest rates rise, spreads tend to tighten and vice versa.
I'm wondering if this relationship depends on the macroeconomic backdrop behind rising rates. In addition to interest rates, credit spreads are also influenced by expected inflation, and the level of growth.
As an example, in an environment where rates are rising due to inflation caused by strong growth and a robust economy, it would make sense for credit spreads to tighten. However, if rates are rising in response to a stagflation scenario (low growth but high inflation), would credit spreads be expected to widen due to weak growth, and higher uncertainty/risk of defaults? Does the growth component matter, or are rising rates + rising inflation generally sufficient to tighten spreads?