Are fireworks bad for my baby?

Yes. I strongly recommend keeping fireworks, matches, and other flammable or otherwise hazardous items away from babies. If professional fireworks outside your home frighten your baby, close the window and take her to the quietest room in the house. If not, there is no harm in watching them, unless they are too loud.
Yes. Aside from the dangers of close exposure to fireworks including burns and amputations, the loud noises even in "safe" fireworks displays might be frightening and overwhelming to the baby.