TY - JOUR N2 - The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies show that forecasts from a naive random walk tend to be comparable or even better than forecasts from more sophisticated models. In the case of the Polish zloty, the discussion in the literature on exchange rate forecasting is scarce. This article fills this gap by testing whether non-linear time series models are able to generate forecasts for the nominal exchange rate of the Polish zloty that are more accurate than forecasts from a random walk. Our results confirm the main findings from the literature, namely that it is difficult to outperform a naive random walk in exchange rate forecasting contest. L1 - http://journals.pan.pl/Content/103809/PDF-MASTER/mainFile.pdf L2 - http://journals.pan.pl/Content/103809 PY - 2010 IS - No 2 EP - 167 DO - 10.24425/cejeme.2010.119325 KW - artificial neural networks KW - exchange rate forecasting KW - Polish zloty KW - Markov-switching models A1 - Rubaszek, Michał A1 - Skrzypczyński, Paweł A1 - Koloch, Grzegorz PB - Oddział PAN w Łodzi DA - 30.06.2010 T1 - Forecasting the Polish Zloty with Non-Linear Models SP - 151 UR - http://journals.pan.pl/dlibra/publication/edition/103809 T2 - Central European Journal of Economic Modelling and Econometrics ER -