The aim of this paper is to provide further evidence of the effect of exchange rate volatility on exports. Higher frequency trade data is used to take into account the short term effects of volatility. Disaggregated trade data is used to deal with differences among product categories, especially between agricultural and manufactures and intermediates and final products. In contrast to many other studies, econometric problems including zero trade values and country specific effects are taken care of. Furthermore, the recent development including the financial crisis and various countries joining the EU is covered, yielding additional findings and policy implications. Our results show a positive effect on trade for a EU membership, but unambiguous results for a Euro membership and exchange rate volatility. For the latter two we found the effects to vary for different industries and time periods. We also found different effects for the intensive and extensive margins of trade.