The Rs. rate is very important for the movement of prices of Gold and Crude oil. The Rs. rate is considered as a base by the commodity traders to forecast the Gold or Crude oil movement. This gives a strong subjective background to test the existence of any such relationship in India. This paper focuses on to establish and validate the long term relationship of commodities’ prices Gold & Crude Oil with Exchange rate Rs.Dollar. in the Indian context. There are numerous traders in India who trade in commodities on the basis of relationship of Rs. exchange rate and Commodity price. There are many other factors on which the prices of Gold and crude oil may depend. They are government policies; budget, inflation, economic and political condition of the country etc. affect the prices of Gold and Crude oil. But this study focuses only on one independent variable i.e. Rs. exchange rate. The data of Rs. weekly closing rate taken as an independent variable and the prices of Gold and Crude oil are taken as dependent variables. The correlation-regression analysis and ADF test is used to find out relationship among Rs. exchange rate volatility vs Gold & Crude oil. The Rs. exchange rate found stationary with the help of ADF test. The study shows the negative relationship between Rs. exchange rate and Gold and Crude oil.