The paper investigates the effects of exchange rate volatility on export volume from Bangladesh to the US market by using monthly time series data over the period of 1991 to 2012. A wide range of econometric techniques have been employed to analyze the relationship between the study variables. The study reveals a stable and significant long run relationship between the variables. By employing Cointegration technique, it is observed that in the long run, a 1% increase in exchange rate that is depreciation of Taka against US dollar causes 2.32% increase in export volume. The estimated error correction coefficient indicates that 36%deviation of export data is corrected in the short run. Impulse response function of the study also affirms the positive relationship between the variables. Finally, Granger causality analysis suggests the existence of a unidirectional causality running from exchange rate to export.