This study deals with horizontal wheat price transmission from the international markets to the domestic Swiss market. The analysis takes into account trade policies implemented at the borders that might shelter the domestic market from international markets fluctuations, as well as the presence of explosive behavior in some of the price series. Furthermore, the Swiss case is peculiar due to the presence of different border policies for wheat according to its domestic use, food or feed. The paper investigates price transmission in this segregated domestic market under the respective different border policies but still acknowledging possible linkages among the two market segments. Vector Error Correction models with structural breaks are estimated, allowing to account for the influence of periods of market exuberance in the international markets as well as of the consequent policy regime changes.