The present article has the objective of analyzing the degree of co-integration of the main markets for soybean in Brazil from the perspective of price levels and the effects of exchange rate fluctuations on soybean prices, based on the city of Sorriso, MT, Brazil. We used econometric analysis by means of a study on long-term relations between quotations and the presence of causality effects between these markets, as well as impulse and response, and variance decomposition functions, based on the VAR model. The results highlight that, despite the differences in prices, there is a long-term co-integration between quotations within the country, which temporally precedes the price quotations observed in other regions, including on prices in Mato Grosso. We could not identify a statistically significant influence of the exchange rate over the physical prices of soybean. On the contrary, there was little significant relation regarding the transfer of a few systemic impulses that aid in explaining price behavior in the short term, with no lasting effects.