Here is the (big) change in correlation as the Emanuel data are progressively smoothed, 0x, 1x, 2x. (Here I exclude the endpoints, which is what one ought to do.)
cor(SST,PDI)  0.5050575
cor(SST.1,PDI.1)  0.6278249
cor(SST.2,PDI.2)  0.7484223
Square those to obtain r^2.
Here are two graphs of Emanuel’s SST and PDI, showing the effect of 1x and 2x smoothing on PACF and spectra for SST and PDI respsectively