Does exchange rate volatility matter for international sales? Evidence from US firm level data

•We analyze the effect of exchange rate volatility on firms' foreign sales.•We use destination-specific US firm-level data and utilize quantile regression.•The effect of the volatility on foreign sales depends on firm characteristics.

We explore the effect of exchange rate volatility on firms' foreign sales using destination-specific US firm-level data at different quantiles of the conditional distribution. Results show that the sign and significance of the effect depend on the economic conditions, firm characteristics, the sector that the firms operate and the quantile of the conditional distribution. Hence, using aggregated data, utilizing mean-regression methods and ignoring firm-specific factors can explain the mixed results provided by the existing literature.