We document a negative relationship between export sophistication and currency excess returns in advanced, financially integrated economies: the currencies of commodity exporters have persistently higher interest rates than those of differentiated-good exporters. We propose a goods market mechanism rationalizing this pattern. In a two-country representative agent model with a power Kimball aggregator, product-level demand curvature governs the elasticity of export demand and the volatility of terms of trade. Differentiated good exporters face less elastic demand, more stable export prices, and hence less volatile national income. In the presence of incomplete risk sharing, this leads to a less volatile consumption process. Commodity exporters, facing highly elastic demand, experience volatile export prices and amplified consumption risk, making the relative price of their consumption basket pro-cyclical. Because currency risk premia compensate investors for covariance with marginal utility growth, these differences in demand structure generate systematic cross-country variation in interest rate differentials and carry returns. Preliminary quantitative results suggest that variation in export demand curvature can account for a significant fraction of cross-section of currency risk premia across G10 economies.