The paper presents the model of excese return rate (ERR) which describes the change in the yield differential between foreign and domestic security investment over time. The authors relate the ERR on a Polish investment to several variables representing the factors which influence investment climate in Poland, Germany and the USA. ERR is directly affected by, among other things, the growth rate of stock exchange indexes, the term structures of interest rates on T-bills and the increments in the yields from Treasury bills. The authors believe investment in risky securities incurs a risk premium. Therefore it seemed necessary to furnish the ERR model with a conditional variance on the part of the model which is not described by other macroeconomic variables. It was proposed to use an ARCH type model to build this variance. The result was applied to obtain short-term exchange rate forecasts for the two currencies of major importance for the Polish economy: the American dollar and the German mark. The findings confirm that Polish securities yield the ERR. They also suggest a link between the future exchange rate and the current values of the variables derived from the financial markets. The model can be further extended by abandoning the assumption of efficient financial markets and including lagged variables as regressors capturing the changes in the ERR.