It depends. How did you determine that your spouse's income should be exempt from New York state taxes?
Generally, you must file a New York State income tax return if you are a New York State resident and are required to file a federal return. You may also have to file a New York State return if you are a nonresident of New York and you have income from New York State sources.
You need to determine if you are a resident, nonresident, or part-year resident before you can decide if you need to file a return with New York State.