The article presents the test results of the combination of the Efficient Market Hypothesis and the Rational Expectations Hypothesis in respect of the Polish foreign currency market (USD and DEM) in the years 1996 - 2001. The test is based on the observation that at times when both predictions coincide, fluctuations in exchange rates should be identical to predictions according to the random error process. To examine this hypothesis, unit root tests were used (the Dickey-Fuller test, the augmented Dickey-Fuller test, the Phillips-Perron test, the Kwiatkowski test, the Phillips test, the Schmidt test, the Shine test) as well as the variance ratio test and the Ljung-Box Q statistic.

The results of the study show that in the years 1996 - 2001 the dynamics of the DEM - PLN exchange rate fluctuations were inconsistent with the joint Efficient Market Hypothesis and Rational Expectations Hypothesis. As for the USD - PLN exchange rate, the outcome of the research suggests quite different conclusions and gives no evidence against the two hypotheses. Moreover, since the introduction of the liquid exchange rate system in April 2000, some "increase" in the USD effectiveness on the Polish market has been observed. From that time on, fluctuations of the USD - PLN exchange rate are of a more random and capricious nature than before.

The reasons for the inconsistency between the dynamics of exchange rate fluctuations and the Efficient Market Hypothesis and Rational Expectations Hypothesis have not been accounted for. The authors offer two possible explanations which, however, have not been verified in practice. They also point to a correlation between the study presented in the article and empirical studies concerning the Polish foreign currency market that have been conducted to date (particularly those related to purchasing-power parity).