We analyze the behavior of prices in Uruguay using a unique database of 30 millions daily prices. We find that prices change about 5 times a year with no seasonal patter. Prices changes are highly synchronized and concentrated on the first day of the month. Our paper is the first to present evidence of high synchronization of prices, which in turn could be explained mainly by the data periodicity. Overall the analysis seems to be consistent with state-dependent pricing models, although we found some interesting features of prices that could not be explained by these models.
