This study explores the complex association between Forex (foreign exchange rates) and various financial assets, including the stock market index, REIT rates, 10-year bond yields, T-bill interest rates, and gold prices. The objective of the current research is to analyse the impact of foreign exchange rate on these market and also to forecast the future trends for policy makers. The methodology used for the study is an analytical approach wherein the ARIMA model is employed first to forecast the future trends of the study variables based on the historical data for 10 years. The analysis is carried out using correlation, regression, VAR, IRF, causality tests, and cointegration tests to examine the relationships, interconnectedness, and long-term and short-term impacts of forex rates and financial assets. From the findings, the stock market index has a significant impact on the other financial assets, wherein exchange rates show very minimal direct impact. However, interconnectedness among assets emphasizes the need for investors and policymakers to consider in their decision-making and strategy development.