Wouldn't it make more sense for an export macro to generate a blob of binary data, and activate the "Save As..." menu item? Even if it's not malicious, macro-directed writing to files has a substantial risk of overwriting something the user wanted to keep, or, at best, leaving the result somewhere that the user will have to search for it. And macros that download data files probably ought to pass them off to the program to store as appropriate.
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