Chile has historically been a net wheat importer and its domestic wheat price is strongly dependent on international markets, Argentine and the United States being the main suppliers. This paper analyzes the degree of integration between the Chilean, Argentinean and USA wheat markets, using a vector error correction (VEC) model. Binary variables addressed changes in the wheat import price band system that occurred in 2004 in order to test if the policy change altered the relationship between Chilean and world prices. The variables used were the Chilean wheat price paid to producers in Chile, the Argentinean FOB price, and the USA FOB prices for Soft and Hard Red Winter Nº 2 Golf wheats, for the period between January 1984 and April 2005. The results show strong price integration among the three countries, with USA prices leading the market system and Chilean prices signifi cantly infl uenced by both USA and Argentinean prices. During this period, the Chilean price band had a positive impact in supporting the domestic price, increasing it by 1.4% on average. The effect of the price variations registered in the price band system in 2004 was not statistically signifi cant.