The role of the price-setting behaviour of outlets has long been identified as critical in the dynamic interactions among inflation, level of economic activities, and the efficient conduct of monetary policy. Thus, the knowledge of micro-level price-setting characteristics of outlets in an economy is highly critical to a robust monetary policy formulation. Exploring the advantage of the abundantly available granular data on prices, the industrial world has carried out several studies to ascertain the price-setting behaviour of firms in their domain and hence determine the level of price stickiness in their respective economies. This is however given far less attention in the emerging markets and developing economies. This study, as a maiden attempt, adopts a battery of statistical techniques to uncover the price-setting attributes of outlets in Nigeria. The data span the period 2016M1 through 2018M7 for the consumer price index covering items under the Classification of Individual Consumption by Purpose (COICOP) of the United Nations. Considering the importance of food items in the COICOP basket for Nigeria, another set of data spanning 2016M1 to 2018M6 was analyzed for Agricultural products. Using a battery of techniques, the study submitted, among others, that incessant changes in prices with bias towards upward adjustment in Nigeria, largely driven by supply constraints can hardly be tackled by demand side policies.