This paper investigates the performance of cognitive radio relay networks with interference power constraints in Rayleigh fading channel. Here we consider spectrum sharing approach, whereby secondary user (SU) may be allowed to transmit simultaneously with primary user (PU) as long as its interference to the PU remains below tolerable level. In addition, SU has to meet certain Quality of Service (QoS) constraints of its own link. To support this QoS constraint, what is the maximal data rate that can be reliably transmitted with arbitrarily small error of probability is found. We observe that this capacity is affected by channel quality of secondary transmission links as well as the interference limit allowed from primary user. Close form expression for effective capacity considering delay as a QoS constraint is derived and simulation results are provided to support theoretical results. The approach of finding effective capacity is extended to outage capacity and ergodic capacity in delay insensitive applications.