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