The purpose of this paper is to investigate the relationships between crude oil futures and agricultural grain commodities futures for soybeans, wheat and corn. Daily data for soybeans, wheat and corn are collected from Chicago Board of Trade (CBOT) and crude oil from New York Mercantile Exchange (NYMEX). The time period covered in this study extends from January 3, 2006 to February 22, 2012. In order to detect the relationships between crude oil and agriculture grain commodities futures, we apply the Vector Autoregression (VAR) model. From the VAR model, the change in each of agriculture grain commodities is significantly influenced by the change in the crude oil and other agriculture grain commodities.