Having the following CCF from the residuals of 2 modelled series, which lags should be taken into account to explain how positively or negatively $x_t$ and $y_t$ are correlated?
Generally you want to look at lags that are significant statistically. So, I'm not sure what the blue lines are but if they are confidence intervals for a zero acf value, then look at lags that cross those lines. Note though that the calculation of the ccf ( particular those related to returns in finance ) can often be quite unstable. Therefore, you should look at different time frames and see if the same ( or atleast similar ) lags keep being signifcant.
Also, what does the second plot represent ?