Syntactically speaking, the sentence is ambiguous. Consider these two similar sentences:
- Let's drink some wine from French vineyards that I've stored in the cellar.
- Let's drink some wine from French vineyards that I visited last summer.
In (1), the antecedent of "that" is "wine," or rather the whole noun phrase "some wine from French vineyards." In (2), the antecedent of "that" is "vineyards," or rather the noun phrase "French vineyards."
But the two sentences are, of course, exactly identical up until the relative clause. In this case, to determine the antecedent of "that," you need to consider the meaning of the relative clause and its surrounding context. Note that you can store a wine and visit a vineyard, but not vice versa.
By default, you would typically assume that the relative clause would be attached to the closest noun phrase ("French vineyards"), but context can override this, as seen in (1).
(In your case, I think it's most likely "exercises"; presumably the author published the exercises, not the vocabulary directly. But again, it depends on context.)