Interest rate duration and credit spread duration negatively correlated?

Hi guys,

Anyone have an intuitive way of explaining why (or if) credit spread duration and interest rate duration are negatively correlated? I keep seeing this phenomenon at work all the time but I can’t wrap my head around it why it’s happening.

If interest rates rise, that’s usually a sign of the fed trying to manage inflation (economy doing well) so if the economy is doing well then credit spreads are likely narrowing. In other words, there is a negative correlation between the economic growth and credit spreads (at least for most corporate issuers).

This is true, but is says nothing about the respective durations.

I’m pretty sure that the correlation is positive (and near +1).

What evidence do you have that makes you think that it’s negative? Can you show us some numbers?