The use of export restrictions has substantially increased in recent years. While a number of papers show how these restrictions have increased world commodity prices, in this paper, we empirically estimate how one country’s export restrictions affected the efficiency of their domestic market. We use a threshold cointegration model to estimate the integration between selected wheat and rice markets in India before and during the export bans and test whether those bans exacerbated the price effects of domestic production shocks. We find that before the ban, the majority of port markets for rice and wheat are integrated with the world market, while only one pair was afterward. We also find evidence that the ban reduced market integration between producing and consuming regions in India. Further, we find that the ban increased domestic price volatility resulting from domestic supply shocks. Thus, we show that export bans can have domestic costs by reducing domestic market efficiency and increasing domestic price volatility.