Previous studies that examined the influence of exchange rate risk on the export flows in Nigeria have not used the Bounds testing technique suggested by Pesaran, Shin and Smith (2001). This paper employs this technique to obtain long-run elasticities as well as understand the forces at work in the short-run adjustment of real exports to changes in foreign economic activity, relative export price and exchange-rate risk. Quarterly data are used, and the period studied is 1980:1 to 2010:4. Results from cointegration analysis, short-run error correction models and persistence profile analysis indicate cointegration and negative effects of exchange rate risks on export volume in both the long run and the short-run.