The article presents the statistical significance of the interest rates fluctuations' impact on the exchange rates fluctuations in the short term. The analysis is based on the event-study method. This study has employed a method applied to the capital market analyses, i.e. the investigation into the impact of the fluctuations in the reference interest rate upon the fluctuations in the PLN/USD exchange rate. To analyse this correlation, market models have been used. It has been proved that the market models more accurately describe the fluctuations of exchange rates than constant-mean-return models and that they better suit the purpose of the event-study, due to the elimination of external shocks having an impact on the exchange rates. In the time periods analysed, the actual fluctuations in the interest rates appeared to have no influence upon the fluctuations in the PLN/USD exchange rate. However, in case of daily data, unexpected fluctuations of interest rates were accompanied by changes in zloty rates.