This paper uses a detailed industry-level database of industry prices in the manufacturing sector in Canada & the United States to investigate whether prices are co-integrated in the two countries and whether the relationship between the two sets of prices follows the law of one price. The paper presents two sets of estimates of the relationship between Canadian & US prices that consider different responses of industries to changes in price or exchange rates. The first just asks how Canadian prices respond to US prices expressed in Canadian dollars. this set of results comes from estimating that relationship using a specification that does not include control for industry-invariant but time-varying fixed effects. The second set purges the US prices expressed in Canadian dollars of the exchange-rate effect (i.e. only considers changes in US prices measured in US dollars). The results cover 84 different industries and show the effects of the exchange rate, the degree of tariff protection, and the degree of industry-level product differentiation on the observed deviations from the law of one price.