We analyze how the governmental market interventions, during the commodity price peaks 2007/2008 and 2010/2011, have affected the transmission of price changes along the wheat-to-bread supply chain in Serbia. We aim to investigate if consumers benefitted from the wheat and flour export restrictions or if other members along the supply chain were able to gain advantage. Our analysis of price dynamics between wheat and flour prices within a Markov Switching Vector Error Correction Model suggests that the millers increased their margin and thus profits in the aftermath of the food crisis. The simulation of bread production costs makes evident that bakeries and even more retailers profited substantially from the crisis policy. Compared with laissez-faire policy case, the significant wheat, flour and bread price increase was dampened by the governmental market interventions only at the beginning of the crisis. Additional market interventions, mainly wheat purchases, caused significant price increase on the domestic market which pushed consumers into unfavorable position. Consumers’ expenditure for food was increasing followed by the increased governmental expenditures for market interventions. Overall market situation, characterized by ad-hoc policy interventions and uncertainty, was leading to the net welfare loss for the whole Serbian economy.