The aim of the article is to analyse the zloty equilibrium exchange rate against the euro allowing for the preparation of recommendations for the fiscal and monetary policy in the period preceding the adoption of the euro. While discussing the strategy of accession to the ERM II an important issue would not only be the assessment of the equilibrium exchange rate but also the identification of the volatility of the zloty/euro exchange rate determinants. It is for the above reason that research on the exchange rate of the złoty against the euro was conducted within the framework of behavioural equilibrium rates models. The analysis is focused on the thesis that the key reason for the zloty exchange rate volatility is the risk swings. Initially verified hypotheses account for a medium-term relation of the real exchange rate to the situation in the fiscal sector and the balance of payments. In the final form of the model the transmission of effects related to budgetary imbalance is effected through interest rates. Therefore, the specification of the currency rate equation does not comprise an approximation of demand factors - an element which is disputable, in the light of empirical studies. The results of the estimation provide grounds for the conclusion that in the period under analysis there was a stable relation between the zloty/euro exchange rate and the volatility of relative interest rates, fluctuations in the short-term central government debt and the balance of trade while multiplier analysis suggests that the factor with the strongest impact on periodical deviation of the exchange rate is the proportion of the value of Treasury bills in circulation and the gross national product. The existence of a strong correlation between the exchange rate adjusted for production prices in the manufacturing and the risk premium also provides grounds for formulating rather serious reservations related to standard approach in which the fulfilment of the PPP hypothesis on the level of bartered goods prices is assumed.