This paper models how the business and financial cycles interact in firms’ export activity. Specifically, we study the influence of macroeconomic variables on the decision to export and on the volume of exports, being controlled by firms’ characteristics. A distinction is made between the firms’ export activity in reaction to increases in external demand after improvements in national competitiveness, and firms’ exporting in response to a reduction in aggregate internal demand. The decision to export depends positively on the countries’ competitiveness variables, and the volume of exports also depends positively on national competitiveness and negatively on growth of internal demand. We also find a positive influence of the leverage of the economy on extensive and intensive export activity. Our results suggest that the financial cycle overlaps with the business cycle in influencing firm export activity decisions.