Following the globalization of financial markets, coupled with liberalized capital flows and rapid development of derivative instruments, currency rates, including the zloty exchange rate, have increasingly been exposed to speculation. In effect, the so-called speculative bubbles may occur. A speculative bubble can be defined as the difference between the exchange rate of a currency correspondent with the country's current macroeconomic situation and the rate resulting from speculative operations, i.e. those activities by market participants which are aimed at an artificial strengthening or weakening of the currency. Given the complexity of the processes affecting the behaviour of exchange rates, modelling speculative bubbles proves a particularly cumbersome task. The author uses regime-switching models, which, owing to their variable parameters, enable researchers to model exchange rate fluctuations flexibly. The analysis comprises three stages. First, the zloty rate changes are analysed from the point of view of long swings (i.e. periods of prolonged appreciation or depreciation of the currency). Next, the authors verify the hypothesis of uncovered interest rate parity. Finally they develop an econometric model capable of identifying possible zloty/euro rate bubbles. This is done taking into account bond yields, risk premiums and forward zloty rates. The analysis leads to the conclusion that while the zloty exchange rate is indeed subject to alternating periods of appreciation and depreciation, the length of those periods varies. Uncovered interest rate parity hypothesis is not confirmed empirically. The authors highlight the periods during which the behaviour of the zloty exchange rate may have resulted form speculative activity .