If you are interested in determining whether there is a correlation between the Federal Reserve Balance Sheet and PPI, would you calculate the correlation between values (prices) or period-to-period change (returns)?
I've massaged both data sets to be of equal length and same date range and have labeled them WWW (WRESCRT) and PPP (PPIACO). Passing them into R we get the following:
> cor(WWW, PPP)  0.7879144
Then applying the Delt() function:
> PPP.d <- Delt(PPP)
Then applying the na.locf() function:
PPP.D <- na.locf(PPP.d, na.rm=TRUE)
Then passing it through cor() again:
> cor(WWW.D, PPP.D)  -0.406858
So, bottom line is that it matters.
NOTE: To view how I created the data view http://snipt.org/wmkpo. Warning: it needs refactoring but good news is that it's only 27 iines.