This article analyses fuel pricing in Poland in the period January 2000 – March 2011. Two levels of prices are considered: wholesale prices set by Polish refineries and retail prices paid at petrol stations. Because refinery product prices are strongly dependent on the zloty exchange rate, a large part of the article deals with the modelling of the PLN/EUR exchange rate, in which process a CHEER model is used.

The multivariate cointegration analysis showed that the wholesale and retail prices of fuels and the exchange rate are linked through long-run relationships. As demonstrated, the wholesale price of fuel depends on the crude-oil price and the PLN/EUR exchange rate. Another finding is that changes in the wholesale price are fully transmitted to retail prices. As far as the exchange rate is concerned, the real interest rate parity hypothesis has been confirmed, as well as the significance of the risk as perceived by financial investors.

This paper investigates the relative importance of cost, demand, financialand monetary shocks in driving real exchange rates in four CEE countries over2000–2018. A two-country New Keynesian open economy model is used as atheoretical framework. In the empirical part, a Bayesian SVAR model withMarkov switching heteroscedasticity is employed. The structural shocks areidentified on the basis of volatility changes and named with reference to the signrestrictions derived from the economic model. Main findings are fourfold. First,real and financial shocks have similar contributions to real exchange variability,whereas that of monetary shocks is small. Second, financial shocks amplifyexchange rate fluctuations stemming from real shocks. Third, even though theexchange rate gaps change over time, they remain quite similar across CEEcountries except for Slovakia. Fourth, Slovakia introduced the euro at the timeof a relatively large real overvaluation, which subsided after a lengthy adjustmentprocess.