Using extensive molecular dynamics simulations of a single eight-residue alanine polypeptide in explicit water, we investigate the influence of α-helix formation on the dielectric spectrum. For this, we project long equilibrium trajectories into folded and unfolded states and thereby obtain dielectric spectra representative for disordered as well α-helical conformations without the need to change any other system parameter such as pH or temperature. The absorption spectrum in the α-helical state exhibits a feature in the sub-GHz range that is significantly stronger than in the unfolded state. As we show by an additional decomposition into peptide and water contributions, this slow dielectric mode, the relaxation time of which matches the independently determined peptide rotational relaxation time, is mostly caused by peptide polarization correlations, but also contains considerable contributions from peptide-water correlations. In contrast, the peptide spectral contribution shows no features in the GHz range where bulk water absorbs, not even in the peptide-water correlation part, we conclude that hydration water around Ala8 is more influenced by peptide polarization relaxation effects than the other way around. A further decomposition into water-self and water-collective polarization correlations shows that the dielectric response of hydration water is, in contrast to electrolyte solutions, retarded and that this retardation is mostly due to collective effects, the self relaxation of hydration water molecules is only slightly slowed down compared to bulk water. We find the dynamic peptide-water polarization cross correlations to be rather long-ranged and to extend more than one nanometer away from the peptide-water interface into the water hydration shell, in qualitative agreement with previous simulation studies and recent THz absorption experiments.