In this paper, we investigate long and short-term impact of changes in oil prices and the exchange rate on prices of seven groups of agricultural products in Russia (buckwheat, grain crops, potatoes, oat, wheat, rye, barley). In this paper, Granger causality approach is applied to test long-run interlinkages with monthly data from January 1999 to October 2015. For testing the response of agricultural prices to sudden shocks in oil prices and exchange rate in the short run, we use impulse-response techniques. The results of impulse response analysis show that agricultural prices are not particularly sensitive to changes in oil prices and the exchange rate of Russian ruble in the short term, except for imported commodities. In the long run, Granger causal relationship between agricultural prices and oil prices is missing, and with exchange rate is observed only in case of imported agricultural goods.