This study investigates the rice price relations between export and domestic retail markets in Myanmar in response to the recent increases in rice prices. Given Myanmar’s position as one of the prime rice producers in the world, understanding these rice prices nexus is significant for effective rice markets management. Authors use a bivariate vector autoregressive with exogenous variables (VARX) model with using monthly time series data from January 2014 to July 2022. The results reveal that there is a significant bidirectional Granger causality between the changes in export and domestic rice prices in Myanmar during the studied periods. According to the findings of the results, the rice price fluctuations in export and domestic markets influence one another. It suggests the necessity of implementing policies that can ensure stable rice prices especially for domestic markets to maintain food security for the long term. In this case, the government and relevant agencies are authoritative to moderate opposing effects on local farmers and consumers.