What does a peak in XWT mean?

You have to be very careful interpreting XWT peaks. If you take the WTC of a signal with pure white noise then the XWT will look very similar to the WT of the signal. The same problem exists in ‘normal’ power spectral analysis. If you calculate the cross Power spectral density of a periodic signal with a white noise signal then you will get a peak. It does not mean that the series have any kind of connection just because there is a peak. I recommend examining the WTC and the phase arrows. If there is a connection then you would expect the phenomena to be phase-locked degrees i.e. that the phase-arrows point only in one direction for a given wavelength. So, if they vary between in-phase and anti-phase then it is a clue that they probably not are linked.