This paper studies the influence of exchange rate variations on prices in foreign and home markets when firm level data are used. The theoretical benchmark, based on the literature of Pricing to Market strategies, is completed to take into account some hypothesis about the effects of demand variations and market power on prices. The empirical analysis for Spanish manufacturing firms in the period 1990-1999 points out the positive impact of devaluations of the peseta in that period in the relative (export/domestic) evolution of prices. However, the response of relative prices to exchange rate shifts is smaller than obtained in the abundant empirical evidence using industry time series. Additionally, the results suggest the positive influence of the differences of market dynamism and that this effect of the demand shifts has been affected by the degree of competition.