This paper proposes an explanation of the shifts in the volatility of exchange rate returns. I show how uncertainty about the exchange rate model may lead private agents to focus excessively on only a subset of fundamental variables. As a result, exchange rate volatility is mainly determined by the dynamics of this subset of fundamentals. I investigate empirically the relevance of this result within the Taylor-rule based model applied to the British Pound/US Dollar exchange rate. Results suggest that the agents shift models twice, in September 1984 and in January 1993, roughly the dates when significant shifts in the volatility of the British Pound/US dollar returns have been found. These two breaks are also captured by the structural break test in the relationship between the Taylor-rule fundamentals and the exchange rate. These results suggest that the changes in the volatility of the British Pound/US dollar returns have been triggered by the shifts of the model.