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1.) What does this mean? Its a cross correlogram, but which factor do I have to include with what lag lenght in my equation? BP003m = 3m LIBOR, BPEU = excahnge rate EURO/POUND.

2.) To get stationarity I am working with dlogs. If I do make a cross correlogram with the dlogs of the two variables I get very different results. Which one a cross correlogram with dlogs or the one using "normal" values should I rely on to get my lag lenght? Will it be the same answer for pairwise correlation?


Date: 12/19/09 Time: 14:43
Sample: 1998Q1 2008Q3
Included observations: 40
Correlations are asymptotically consistent approximations

BP003M,BPEU(-i) BP003M,BPEU(+i) i lag lead

. |* . | . |* . | 0 0.1289 0.1289
. |* . | . | . | 1 0.1287 0.0353
. |**. | . | . | 2 0.1736 -0.0082
. |**. | . *| . | 3 0.1994 -0.0696
. |*** | .**| . | 4 0.2812 -0.1512
. |**** | ***| . | 5 0.3616 -0.2775
. |**** | ***| . | 6 0.4224 -0.3410
. |***** | ****| . | 7 0.4572 -0.3958
. |***** | ****| . | 8 0.4655 -0.3831
. |**** | ****| . | 9 0.4430 -0.3685
. |**** | ***| . | 10 0.4238 -0.3226
. |**** | ***| . | 11 0.3844 -0.2525
. |*** | .**| . | 12 0.3499 -0.1958
. |*** | . *| . | 13 0.3341 -0.1291
. |*** | . *| . | 14 0.3265 -0.0791
. |*** | . *| . | 15 0.2966 -0.1176
. |**. | .**| . | 16 0.2411 -0.1534
. |**. | .**| . | 17 0.1801 -0.2032
. |* . | ***| . | 18 0.1243 -0.2726


Many thanks in advance, best regards