In this paper，we build a supply chain game model consisting of a supplier，a manufacturer and a retailer under a wholesale price contract，where the manufacturer as the focal firm is faced with two-sided ( import and export) exchange rate volatilities． With the model equilibrium，we employ the comparative static analysis to study the impacts of those two-sided exchange rate volatilities and their correlation on the variances of the supply chain members’operations decisions，on their expected profits and on the corresponding variances，and explore the factors that affect the relative levels of risk bearing among these three supply chain members． The results show that: (1) When those two-sided exchange rate volatilities are negatively correlated，the variances of the supply chain members’operations decisions，their expected profits and the corresponding variances increase with the import (export) exchange rate volatility; When those two-sided exchange rate volatilities are positively correlated，there exists a critical level of the import (export) exchange rate volatility such that the variances of the supply chain members’operations decisions，their expected profits and the corresponding variances decrease for lower levels of volatility and increase for higher levels，implying a Ushaped risk transmission; (2) The relative levels of risk bearing among these three supply chain members depend on their decision-making flexibility，but are independent of the correlation of two-sided exchange rate volatilities．