Yes and no. Not while you're pregnant, unless you develop a severe allergy...once the baby is born, it's really important to keep airborne respiratory irritants to a minimum while their immune system develops, so it would be important to keep the dog well-bathed and keep the furniture vacuumed to cut down on the airborne fur.
But the fur by itself is not harmful...just make sure the baby's bedding doesn't get covered in it, and if you pat the couch cushion and a big puff of fur flies up, that's probably a cue to vacuum more, LOL...but otherwise just keep on top of the cleaning and dusting and it shouldn't be an issue unless there's a history of neonatal asthma or breathing issues in your family, or unless the baby is premature or develops a respiratory illness after delivery.
Its actually good for kids to be around animals, housemites and dirt there is research to suggest that it helps prevent allergies, and that the increase in allergies these days is because our houses are too clean so kids are not building a resistance...unfortunately some will suffer regardless, but I have always been taught that dirty kids are healthy kids and I must admit that I have so far found that to be true we have 2 dogs and a cat and my kids spend their time digging in the garden and getting dirty, they rarely get ill and suffer no allergies...only time will tell it your little one will suffer, but dont stress about that yet!
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