Crude Oil prices are thought to have direct and indirect effect through the exchange rate on the international agricultural commodities prices. The aim of this paper is to examine the interdependence relationship between crude oil futures prices, US dollar exchange rate, and international agricultural commodities prices, including corn (maize), sorghum, wheat, sugar, coconut oil, fishmeal, olive oil, palm oil, groundnut oil, groundnuts, rapeseed oil, soybean meal, soybean oil, soybeans, and sunflower prices. Using autoregressive (AR) model with an exponential generalized autoregressive conditional heteroskedasticity (EGARCH), namely AR-EGARCH model, we describe mean and variance equation in EGARCH model and then extract GARCH variance time series to investigate the volatility spillover from crude oil returns and US dollar exchange rate to the international agricultural commodities returns. To this end, the vector auto-regression (VAR) and vector error correction model (VECM) Granger causality approach, generalized and accumulated impulse-response analysis for identification of the short run and long run interrelationships are applied to the monthly data spanning from Jan 1986 to Nov 2015. The generalized and accumulated impulse response analysis suggests the volatility of international agricultural commodities prices do not significantly react to the volatility of crude oil price and the volatility of exchange rate shocks in the short run for the pre-crisis time period. But, they are significant for the post-crisis time period. The long run causality analysis reveals that the volatility of crude oil prices and appreciation/depreciation of the US dollar exchange rate are transmitted to the international agricultural commodities prices for the post-crisis time period. Also, crude oil returns volatility does affect the US dollar exchange rate volatility for the post-crisis time period which in turn affects the volatility of the international agricultural commodities returns through changes in prices.