This paper aims to assess the impact of exchange rate exposure on consumption and to determine the existence of differences in the strength of the exchange rate exposure effect on consumption in selected countries regarding their size and choice of exchange rate regime. The specificity of this paper is the use of panel models in countries of distinctive characteristics. Also, consumption was estimated by panel models which is not so common in previous research. An additional step forward is the use of binary variables in the panel model to include qualitative variables. Conducted empirical research based on panel data for twenty-four countries in the period from 1990 to 2017 confirms the presence of a negative impact of exchange rate exposure on consumption. In doing so, the fixed model was rated as the most suitable model for the panel data used. Countries that record higher exchange rate exposure were also found to have a stronger impact of exposure on consumption as demonstrated in developed economies using a fixed exchange rate regime. Similarly, the impact of exposure on consumption has been shown to be greater for countries with a fixed regime versus countries with a flexible exchange rate regime. The conducted research is limited by the unavailability of more recent data, but also by insufficient knowledge of panel VAR models. It is certainly recommended to use any kind of the autoregressive model, but also to have greater control of the heterogeneity of the selected countries.