Abstract. The dollar is the leading international currency, and it is used widely in the majority of international financial transactions. The various food products that comprise agricultural commodities, as also crude oil, have been using the dollar exchange rate for international trade. Over the past several years, the changes in the dollar exchange rate have shown more volatility in addition to a depreciation trend, which has had an influence on the prices of those commodities. We analyzed the relationship between the dollar exchange rates and the prices of two commodities, palm oil and crude oil, by using the GARCH(1,1) model to examine the volatility of the exchange rates and the future prices 1-Pos. of the prices of both the commodities. The vine copula model is used to analyze the dependence structure between their marginal distributions. The data analyses were based on the daily observations from

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Abstract. The increase in energy and food prices remains a challenge for the ASEAN Economic Community (AEC). Understanding the dependence between energy prices and food prices is imperative for the energy and food security for the people of the ASEAN countries. The C-vine copula model is a flexible tool to analyze the relationship between variables, in which the multivariate dependence modeling. It offers us to define the relationship structure between variables or we call pair-copula construction, according to the purpose of study. This study is interesting to examine an influence of crude oil price on palm oil price and soybeans price. The results can conclude that the change of crude oil price has influence on the prices of palm oil and soybeans. Moreover, the findings show that there exists the dependence between palm oil price and soybeans price, and crude oil price is one factor that has influence on relation of their prices. However, the dependence structure of the static copula for Crude oil-Palm oil (C,P), Crude oil-Soybeans (C,S), Palm oil-Soybeans (P,S), there exists a weak positive dependence in each pair-copula. This indicates that the price of each commodity is slightly related to the price of every other. In the case of soybeans, the ASEAN members should cooperate and incorporate their efforts to increase the capacity and performance in production to reduce relying on soybeans being imported from outside the region.

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