As I understand it, the effects are supposed to be permanent.

However, people have been reporting a bug where the effects tail off in the years after you capture a wonder. I've also seen people saying that the effects of the wonder return if you lose and recapture that city or (oddly) capture another city with a wonder in it.

See, for example, bugs 48 and 78 in the "Patch requests" thread on the .com forums.