IDEAS home Printed from https://ideas.repec.org/a/gam/jeners/v18y2025i17p4610-d1738071.html
   My bibliography  Save this article

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

Author

Listed:
  • Tadeusz Kufel

    (Faculty of Economic Sciences and Management, Nicolaus Copernicus University, ul. Gagarina 13a, 87-100 Toruń, Poland)

  • Grzegorz Rządkowski

    (Department of Finance and Risk Management, Warsaw University of Technology, Narbutta 85, 02-524 Warsaw, Poland)

Abstract

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.

Suggested Citation

  • Tadeusz Kufel & Grzegorz Rządkowski, 2025. "Wavelet Analysis of the Similarity in the Inflation Index (HICP) Dynamics for Electricity, Gas, and Other Fuels in Poland and Selected European Countries," Energies, MDPI, vol. 18(17), pages 1-23, August.
  • Handle: RePEc:gam:jeners:v:18:y:2025:i:17:p:4610-:d:1738071
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1996-1073/18/17/4610/pdf
    Download Restriction: no

    File URL: https://www.mdpi.com/1996-1073/18/17/4610/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Sergio Botero Botero, 2022. "Dynamic Co-Movements among Oil Prices and Financial Assets: A Scientometric Analysis," Sustainability, MDPI, vol. 14(19), pages 1-26, October.
    2. Razi, Ummara & Cheong, Calvin W.H. & Shams, Syed & Sarker, Tapan & Sharif, Arshian & Afshan, Sahar, 2025. "Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability," Energy, Elsevier, vol. 331(C).
    3. Izabela Jonek-Kowalska, 2022. "Assessing the energy security of European countries in the resource and economic context," Oeconomia Copernicana, Institute of Economic Research, vol. 13(2), pages 301-334, June.
    4. Michał Bernard Pietrzak & Magdalena Olczyk & Marta Ewa Kuc-Czarnecka, 2022. "Assessment of the Feasibility of Energy Transformation Processes in European Union Member States," Energies, MDPI, vol. 15(2), pages 1-23, January.
    5. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati, 2013. "Oil price and exchange rates: A wavelet based analysis for India," Economic Modelling, Elsevier, vol. 31(C), pages 414-422.
    6. Farid, Saqib & Karim, Sitara & Naeem, Muhammad A. & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Co-movement between dirty and clean energy: A time-frequency perspective," Energy Economics, Elsevier, vol. 119(C).
    7. Uddin, Gazi Salah & Tiwari, Aviral Kumar & Arouri, Mohamed & Teulon, Frédéric, 2013. "On the relationship between oil price and exchange rates: A wavelet analysis," Economic Modelling, Elsevier, vol. 35(C), pages 502-507.
    8. Lutz Kilian & Xiaoqing Zhou, 2022. "Oil prices, gasoline prices, and inflation expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 867-881, August.
    9. Aviral Kumar Tiwari & Emmanuel Joel Aikins Abakah & Luis A. Gil-Alana & Moses Kenneth Abakah, 2021. "Inflation Co-Movement Dynamics: A Cross-Country Investigation Using a Continuous Wavelet Approach," JRFM, MDPI, vol. 14(12), pages 1-43, December.
    10. Xindi Wang & Zeshui Xu & Xinxin Wang & Marinko Skare, 2022. "A review of inflation from 1906 to 2022: a comprehensive analysis of inflation studies from a global perspective," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 595-631, September.
    11. Inga Ivanova & Grzegorz Rzadkowski, 2025. "Triple Helix synergy and patent dynamics. cross country comparison," Quality & Quantity: International Journal of Methodology, Springer, vol. 59(3), pages 2891-2923, June.
    12. Maciej Ryczkowski, 2021. "Money and inflation in inflation-targeting regimes – new evidence from time–frequency analysis," Journal of Applied Economics, Taylor & Francis Journals, vol. 24(1), pages 17-44, January.
    13. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
    14. Perron, Pierre & Qu, Zhongjun, 2007. "A simple modification to improve the finite sample properties of Ng and Perron's unit root tests," Economics Letters, Elsevier, vol. 94(1), pages 12-19, January.
    15. Nana Liu & Zeshui Xu & Marinko Skare, 2021. "The research on COVID-19 and economy from 2019 to 2020: analysis from the perspective of bibliometrics," Oeconomia Copernicana, Institute of Economic Research, vol. 12(2), pages 217-268, June.
    16. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
    17. Chathuni Wijesekara & Chamath Tittagalla & Ashinsana Jayathilaka & Uvinya Ilukpotha & Ruwan Jayathilaka & Punmadara Jayasinghe, 2022. "Tourism and economic growth: A global study on Granger causality and wavelet coherence," PLOS ONE, Public Library of Science, vol. 17(9), pages 1-21, September.
    18. Michał Bernard Pietrzak & Bartłomiej Igliński & Wojciech Kujawski & Paweł Iwański, 2021. "Energy Transition in Poland—Assessment of the Renewable Energy Sector," Energies, MDPI, vol. 14(8), pages 1-23, April.
    19. Bai, Limiao & Yan, Sen & Zheng, Xiaolian & Chen, Ben M., 2015. "Market turning points forecasting using wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 184-197.
    20. Naeem, Muhammad Abubakr & Peng, Zhe & Suleman, Mouhammed Tahir & Nepal, Rabindra & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency connectedness among oil shocks, electricity and clean energy markets," Energy Economics, Elsevier, vol. 91(C).
    21. Tomiwa Sunday Adebayo, 2020. "Dynamic Relationship between Oil Price and Inflation in Oil Exporting Economy: Empirical Evidence from Wavelet Coherence Technique," Energy Economics Letters, Asian Economic and Social Society, vol. 7(1), pages 12-22.
    22. Batten, Jonathan A. & Mo, Di & Pourkhanali, Armin, 2024. "Can inflation predict energy price volatility?," Energy Economics, Elsevier, vol. 129(C).
    23. Binder, Carola Conces, 2018. "Inflation expectations and the price at the pump," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 1-18.
    24. Aziza Syzdykova & Aktolkin Abubakirova & Lyazzat Kudabayeva & Ardak Zhantayeva & Aizhan Omarova, 2022. "Asymmetric Causality Relationship between Oil Prices and Inflation in BRIC Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 184-191, May.
    25. Ferrer, Román & Shahzad, Syed Jawad Hussain & López, Raquel & Jareño, Francisco, 2018. "Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices," Energy Economics, Elsevier, vol. 76(C), pages 1-20.
    26. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
    27. Jassim Aladwani, 2023. "Wavelet Coherence and Continuous Wavelet Transform - Implementation and Application to the Relationship between Exchange Rate and Oil Price for Importing and Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 531-541, July.
    28. Tomiwa Sunday Adebayo, 2020. "Dynamic Relationship between Oil Price and Inflation in Oil Exporting Economy: Empirical Evidence from Wavelet Coherence Technique," Energy Economics Letters, Asian Economic and Social Society, vol. 7(1), pages 12-22, June.
    29. Lin, Chien-Hsiu, 2012. "The comovement between exchange rates and stock prices in the Asian emerging markets," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 161-172.
    30. Tiwari, Aviral Kumar, 2013. "Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet," Economic Modelling, Elsevier, vol. 30(C), pages 636-642.
    31. Mahmoud El-Gamal, 2024. "Inflation Is Still A Monetary Phenomenon: A Wavelet Analysis of Inflation, Oil Prices and Money Supply," Applied Economics Letters, Taylor & Francis Journals, vol. 31(2), pages 164-169, January.
    32. Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
    33. Mingbo Zheng & Gen-Fu Feng & Chun-Ping Chang, 2023. "Is green finance capable of promoting renewable energy technology? Empirical investigation for 64 economies worldwide," Oeconomia Copernicana, Institute of Economic Research, vol. 14(2), pages 483-510, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2017. "Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently? A wavelet coherence analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 536-547.
    2. B. Anand & Sunil Paul & M. Ramachandran, 2014. "Volatility Spillover between Oil and Stock Market Returns," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 49(1), pages 37-56.
    3. Farouk, Faizal & Masih, Mansur, 2016. "Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 360-375.
    4. Tiwari Aviral Kumar & Cunado Juncal & Gupta Rangan & Wohar Mark E., 2019. "Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(3), pages 1-17, June.
    5. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
    6. Aviral Tiwari & Niyati Bhanja & Arif Dar & Olaolu Olayeni, 2015. "Analyzing Time–Frequency Based Co-movement in Inflation: Evidence from G-7 Countries," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 91-109, January.
    7. Gazi Salah Uddin & Mohamed Arouri & Aviral Kumar Tiwari, 2014. "Co-movements between Germany and International Stock Markets: Some New Evidence from DCC-GARCH and Wavelet Approaches," Working Papers 2014-143, Department of Research, Ipag Business School.
    8. Ben-Salha, Ousama & Hkiri, Besma & Aloui, Chaker, 2018. "Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach," Energy Economics, Elsevier, vol. 72(C), pages 75-96.
    9. repec:ipg:wpaper:2014-456 is not listed on IDEAS
    10. Sudipta Das, 2021. "The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 129-149, November.
    11. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
    12. Aviral Tiwari & Niyati Bhanja & Arif Dar & Faridul Islam, 2015. "Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets," Empirical Economics, Springer, vol. 48(2), pages 699-714, March.
    13. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
    14. Zied Ftiti & Aviral Tiwari & Ibrahim Fatnassi, 2014. "Oil price and macroeconomy in India – An evolutionary cospectral coherence approach," Working Papers 2014-68, Department of Research, Ipag Business School.
    15. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
    16. Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2024. "Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization," International Review of Financial Analysis, Elsevier, vol. 94(C).
    17. Chiranjivi, GVS & Sensarma, Rudra, 2023. "The effects of economic and financial shocks on private investment: A wavelet study of return and volatility spillovers," International Review of Financial Analysis, Elsevier, vol. 90(C).
    18. Lin, Fu-Lai & Chen, Yu-Fen & Yang, Sheng-Yung, 2016. "Does the value of US dollar matter with the price of oil and gold? A dynamic analysis from time–frequency space," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 59-71.
    19. Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
    20. Gazi Salah Uddin & Aviral Kumar Tiwari, 2013. "Measuring co-movement of oil price and exchange rate differential in Bangladesh," Economics Bulletin, AccessEcon, vol. 33(3), pages 1922-1930.
    21. repec:ipg:wpaper:2014-441 is not listed on IDEAS
    22. Shenali Nupehewa & Sachintha Liyanage & Deshan Polkotuwa & Madhurshi Thiyagarajah & Ruwan Jayathilaka & Anuja Lokeshwara, 2022. "More than just investment: Causality analysis between foreign direct investment and economic growth," PLOS ONE, Public Library of Science, vol. 17(11), pages 1-28, November.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jeners:v:18:y:2025:i:17:p:4610-:d:1738071. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.