Wavelet Analysis of the Similarity in the Inflation Index (HICP) Dynamics for Electricity, Gas, and Other Fuels in Poland and Selected European Countries

Inflation is an indicator that signals emerging crises. The period of 2001–2024 witnessed numerous crises. Energy crises affect countries to varying degrees, making it important to identify those most sensitive to inflationary changes in energy prices. This study aims to assess the similarity in the dynamics of the annual inflation rates for the electricity, gas, and other fuels category (HICP—COICOP group 04.5) across Europe. In particular, we identify sub-periods and countries in which inflation indicators either led price changes in Poland or followed the inflation dynamics observed in Poland. This assessment of leading and lagging inflation dynamics is conducted using wavelet analysis, specifically analysis of the wavelet coherence with a phase difference, for Poland and 27 European countries. The analysis addresses two main questions. First, was there statistically significant coherence (correlation in the frequency domain over specific sub-periods) in energy price inflation processes between Poland and other countries? Second, which countries exhibited energy price inflation dynamics that led or lagged behind the pattern in Poland? For many countries, coherence with Poland was not significant in regard to short-term fluctuations (2–6 months) but became significant over longer time scales. Furthermore, at longer periodicities, Poland’s energy inflation dynamics were synchronous with those of many European countries, especially during the period of Russian aggression against Ukraine. This analysis identifies statistically significant coherence between Poland and the chosen European countries. Germany and Lithuania frequently led Polish energy price inflation, whereas other countries, such as Bulgaria and Spain, often lagged behind. These results reveal dynamic patterns in the time–frequency co-movements of energy inflation across Europe.