We present a study of the atmospheric extinction over the observatories of the Canary Islands, based mainly on photometric measurements of the V-band extinction coefficient obtained during /2850 nights at the Carlsberg Automatic Meridian Circle at the Roque de los Muchachos Observatory (La Palma), and complemented with visible and infrared data obtained at the Teide Observatory (Tenerife). The median value of the extinction coefficient in the V-band is found to be 0.113mag airmass-1, which compares favourably with the extinction found at other first-quality astronomical sites. Long-term extinction variations due to the effects of the volcanic eruptions of El Chichón (1982) and Mt. Pinatubo (1991) are also described in this study. A detailed description of the seasonal variations provides the opportunity to study the influence of Saharan dust episodes, mostly concentrated in the summer period. This allowed us to estimate how Saharan dust affects astronomical observations. It is concluded that more than 75% of summer nights are not affected by dust, while this number rises over 90% for the rest of the year.