The recent fluctuation in commodity prices was enpounded due to the influence of RMB exchange rate variation on agricultural commodities.The relationship between the domestic futures price data of agricultural commodities and the exchange rate of RMB to dollar was analysed with soybean,wheat and sugar as examples.The analysis was based on the multivariable co integration model,the error correction model and the impulse response function technique.The empirical results show that a positive correlation exists between the appreciation of the exchange rate of RMB to dollar and prices of staple agricultural products,while the depreciation of dollar may lead to higher prices of agricultural commodities.