Previous studies find that there is some evidence of convergence in relative prices (real exchange rate) across cities in the U.S. However, the estimated speed of convergence seems to be very slow. Using annual consumer price index (CPI) data for 23 major cities and for 4 regions: northeast, midwest, west, and south, between 1967 and 2007, this paper examines if there is stronger evidence of convergence at the regional level or/and if city prices converge at a much faster rate at the regional level. The preliminary results suggest that while there is clear evidence of convergence in relative prices across cities in the west, there is little evidence of convergence in relative prices across cities in the northeast and the midwest. In the south, the evidence is mixed. These results seem to suggest that there are important differences in the speed of convergence across regions.