ABSTRAK Kenaikan harga pangan di dunia menyebabkan terjadinya krisis pangan global. Beberapa negara Asia ikut terkena dampak atas kenaikan harga pangan dunia, termasuk Indonesia. Menggunakan metode Vector Error Correction Model (VECM), maka peneliti bermaksud untuk menganalisis hubungan jangka panjang antara harga minyak dunia dan kurs terhadap harga komoditas pertanian (beras, jagung dan kedelai) di Indonesia dan menguji kausalitas diantara variabel. Analisis ini didasarkan pada data bulanan yang mencakup periode Januari 2010 hingga Juni 2017. Hasil penelitian menunjukkan bahwa terdapat hubungan keseimbangan dalam jangka panjang antara harga minyak dunia dan kurs terhadap ketiga harga komoditas pangan dan terdapat kausalitas satu arah dari harga minyak dunia hanya terhadap harga beras. Meskipun demikian penelitian ini mengkonfirmasi hipotesis adanya hubungan harga minyak dunia terhadap harga komoditas pertanian. Sedangkan kurs tidak menunjukkan pola hubungan kausalitas baik searah maupun dua arah terhadap masing-masing harga komoditas pertanian yang diteliti. Berdasarkan Impulse Response Function (IRF), hasil studi menunjukkan bahwa harga beras merespon secara negatif terhadap guncangan harga minyak dunia dalam jangka pendek sedangkan merespon positif terhadap guncangan harga minyak dunia dalam jangka panjang. Tetapi respon harga jagung dan kedelai tidak signifikan. Sementara itu, guncangan nilai tukar direspon positif oleh harga beras dan kedelai. Sebaliknya, guncangan nilai tukar pada harga jagung menunjukkan respon yang relatif lemah dan negatif. Untuk mengendalikan lonjakan harga komoditas pertanian (pangan), disarankan agar kebijakan pemerintah diarahkan pada kebijakan stabilisasi harga pangan dan nilai tukar serta mengantisipasi dampak eksogen dari perubahan harga minyak dunia yang bisa mempengaruhi harga beras. Kata kunci : Harga Minyak Dunia, Kurs, Harga Komoditas Pertanian, VECM, Kausalitas Granger, Kointegrasi, IRF, FEVD ABSTRACT Increasing food prices in the world caused a global food crisis. Some Asian countries are also affected by rising world food prices, including Indonesia. Using Vector Error Correction Model (VECM) method, the researchers intend to analyze whether there is a long-term relationship between world oil prices and exchange rates on agricultural commodity prices (rice, corn and soybeans) in Indonesia and test the causality among variables. This analysis is based upon the data set covering the monthly period of January 2010 to June 2017. The empirical results show that there is a long-term equilibrium relationship between world oil prices and exchange rate against three of agricultural commodity prices and there is only unidirectional causality of the world oil price against rice price. Nevertheless, this study confirms the hypothesis from world oil price to agricultural commodity price. While exchange rate did not show the pattern of causality relationship either one or two direction to each agricultural commodity price under study. According to Impulse Response Function (IRF), the study results show that the rice price negatively responds to shock of world oil prices in the short term while responding positively to shock of world oil prices in the long term. But response of corn and soybean prices is not significant. Meanwhile, shock of exchange rate is responded positively by rice and soybean prices. Conversely, shock of exchange rate on corn prices shows relatively weak and negative responses. To controlling surging prices of agricultural commodities (food), it is suggested that government policies directed at food prices stabilization policies and exchange rate and also anticipate the exogenous impact of changes in world oil prices that could affect rice price. Keywords: World Oil Price, Exchange Rate, Agricultural Commodity Price, VECM, Granger Causality, Cointegration, IRF, FEVD