This paper examines the characteristics of short-term fluctuations/volatility of the South African exchange rate and investigates whether this volatility has affected the South Africa's exports flows. In particular the paper investigates the impact of exchange rate volatility on aggregate South African exports flows to the rest of the world, as well as on South African goods, services and gold exports. The ARDL bounds testing procedures developed by Pesaran et al. (2001) were employed on quarterly data for the period 1984 to 2004. The results suggest that, depending on the measure of volatility used, either there exist no statistically significant relationship between South African exports flows and exchange rate volatility or when a significant relationship exists, it is positive. No evidence of a long run gold and services exports demand relations were found. These results are however not robust as they show great amount of sensitivity to different definitions of variables used.