Context. Discovered in 1907, the Blazhko effect is a modulation of the light variations of about half of the RR Lyr stars. It has remained unexplained for over 100 years, despite more than a dozen proposed explanations. Today it represents an ongoing challenge in variable-star research. Aims. We propose a new explanation. It is based on the observation that Blazhko stars seem to be located in the region of the instability strip where fundamental and first overtone modes are excited at the same time.Methods. An analysis of nonlinear and nonadiabatic pulsation models of RR Lyrae stars shows that a specific shock (called first overtone shock) may be generated by the perturbation of the fundamental mode by the transient first overtone. Results. The first overtone shock induces a sharp slowdown of the atmospheric layers during their infalling motion. This slowdown in turn affects the compression rate on the deep photospheric layers and the intensity of the κ-mechanism. After an amplification phase, the intensity of the main shock wave before the Blazhko maximum becomes high enough to provoke large radiative losses. These can be at least equal to 70% of the total energy flux of the shock, which induces a small decrease of the effective temperature at each pulsation cycle. In these conditions, when the intensity of the main shock reaches its highest critical value at the Blazhko maximum, it completely desynchronizes the motion of the phostospheric layers. At this point, the atmosphere relaxes and reaches a new synchronous state that occurs at the Blazhko minimum. Conclusions. The combined effects of these two shocks on the atmosphere cause the Blazhko effect. This effect can only exist if the first overtone mode is excited together with the fundamental mode. Because the involved physical mechanisms are essentially nonlinear (shocks, atmospheric dynamics, radiative losses, mode excitations), the Blazhko process is expected to be unstable and irregular. Consequently, the Blazhko process has a specific random nature that is in contrast with the pulsation of non-Blazhko stars.