We investigate the optimal hedging strategy in a continuous time framework that is more adequate for commodities. We consider the consumption-investment problem where all asset prices follow mean- reverting jump-diffusion processes. The optimal investment and con- sumption strategies are derived in closed form. The framework is used to address one of the major risk factors faced by commodity produc- ers. We show that a commodity producer will be better off hedging his/her futures contracts by simultaneously investing in foreign ex- change products to minimize the adverse impacts of the jump risk prevalent in commodity prices.