The aim of this paper is to contribute to the existing literature by exploring the relationship between the real commodity price volatilities and the real effective exchange rate (REER) of commodity-exporting countries, taking into account the transition variable of financial market integration. To this end, we consider a sample of 42 commodity-exporting countries subdivided into 4 panels: food and beverages, energy, metals, and raw materials. Our results highlight that the relationship between real commodity price volatility and REER is non-linear and depends on the degree of financialization of the commodity market. Specifically, when a country is poorly integrated financially, the volatility of the real commodity price has a strong and negative impact on the variation in REER. However, for periods when a country is better integrated financially, we observe a decrease in the impact of real commodity price volatility on REER, especially for the two panels of food and beverages as well as energy. Our findings also highlight the growth of financialization of commodities post-2000, particularly in the case of the energy sector.