The theoretically predicted correlation of laser phase fluctuations in Lambda-type interaction schemes is experimentally demonstrated. We show that the mechanism of correlation in a Lambda scheme is restricted to high-frequency noise components, whereas in a double-Lambda scheme, due to the laser phase locking in a closed-loop interaction, it extends to all noise frequencies. In this case the correlation is weakly sensitive to coherence losses. Thus the double-Lambda scheme can be used to correlate electromagnetic fields with carrier frequency differences beyond the GHz regime.