Assuming a 1-based array, you could use:
Code:
for n = lbound(correlmatrix, 2) to ubound(correlmatrix, 2)
varmatch = application.match(avar, application.index(correlmatrix, 0, n))
if not iserror(varmatch) then
   msgbox "x=" & varmatch & "; y=" & n
end if
next n
though I suspect it would be as fast if not faster to simply iterate every element rather than using worksheet functions on arrays.