The original USD LIBOR technical predictability note presented a time-integrated measurement of autocorrelations and cross-correlations associated with the USD LIBOR of various maturities. This note follows up on the topic with a time-evolution study, splitting the 2002-2008 range into separate year-long intervals. Due to changes in volatility, the integrated picture might be dominated by a few time periods of the highest volatility. For this and other reasons, a time-evolution study is useful. It's interesting that LIBOR correlations from 2008, the year of credit crisis, look neither uninformative nor artificial. While the LIBOR patterns of 2008 are quantitatively different from other years, they do not look fundamentally different from other years with falling interest rates.
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