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In particular, vanishing moments are closely related to the approximation order of the wavelet frame decomposition  \\[  \\sum_{j \\in Z} \\sum_{k \\in Z^d} \\sum_{\\nu=1}^r \\langle f, \\tilde{\\psi}^{(\\nu)}_{jk} \\rangle \\psi^{(\\nu)}_{jk}.  \\]  Indeed, it was shown by \\textit{I. Daubechies, B. Han, A. Ron} and \\textit{Z. Shen} [Appl. Comput. Harmon. Anal. 14, No. 1, 1--46 (2003; Zbl 1035.42031)] that a MRA--based compactly supported dual wavelet frame system provides approximation order \\(N\\) whenever the Fourier transforms of all its generators vanish up to order \\(N\\) at the origin (the ``vanishing moment'' property). In this paper, the author shows that for a wide class of wavelet frames, not necessarily MRA-based, not necessarily with diagonal matrix dilation, and not necessarily compactly supported, the vanishing moment property for the dual frame generators provides the corresponding approximation order for the frame decomposition. 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