Brazil occupies the third position in the wheat import rank and has this grain as the second biggest item in the general imports issue. Thus, becomes even more important the attention regarding the volatility of the wheat's international price, in order to have a better comprehension of the price behavior and transmissibility for a more efficient planning by the agents in the productive chain. Seen in these terms, this study has as a purpose to analyze the volatility and the transmission of the wheat's international price to the domestic prices of this grain and its by-products in Brazil. To reach this target, it was used statistics tests, such as descriptive statistics, ADF unitary root test, cointegration test and application of the VEC model. As a result, it was verified a strong and positive correlation of the price of Brazilian wheat with North American one (0.92), and a moderate and positive compared with the Argentinean wheat (0.68). In the short term, the VEC model indicated that a hypothetical variation of 1% in the Argentinean wheat will led to an increase of 1.34 % in the price of the Brazilian one, and a 1% price variation in the North American wheat will increase in 1.29% the price of the wheat flour in Brazil. All in all, is concluded there are strong evidences of transmission in the wheat´s international prices to the domestic ones and its by-products in Brazil.