This paper develops a real options model of export with imperfect exchange rate pass-through to investigate the relationship between exchange rate movements and dumping activity. It is found that exchange rate level as well as its trend and volatility have an asymmetric effect on dumping occurrence, which depends on the long-run level of exchange rate. Specifically, when the value of an importing country's currency is low, the appreciation or expected appreciation will cause the dumping activity to rise, whereas when the currency value is high, this relationship might be reversed. Similarly, while the magnitude of exchange rate pass-through and dumping occurrence are positively related when the currency value of an importing country is high enough, they might become negatively related when the currency value is low enough. Furthermore, the exchange rate volatility and dumping occurrence will be positively related only if the value of an importing country's currency is extremely low or extremely high. Industry-level data on anti-dumping (AD) filings of the US covering the period 1980–2006 is used to test the validity of our theoretical model. Our empirical results are generally consistent with the prediction of our theory.