Nominal shocks have long-lasting effects on real economic activity, beyond those implied by standardmodels that target the average frequency of price adjustment in micro data. This paper develops aprice-setting model that explains this gap through the interplay of menu costs and uncertainty aboutidiosyncratic productivity. Uncertainty arises from firms' inability to distinguish between permanentand transitory productivity changes. Upon the arrival of a productivity shock, a firm's uncertaintyspikes up and then fades with learning until the next shock arrives. These uncertainty cycles, whenpaired with menu costs, generate recurrent episodes of high adjustment frequency followed by episodesof low adjustment frequency at the firm level. A decreasing hazard rate of price adjustment results,as in the data. Taking into account this pricing behavior amplifies the persistence and reduces thepass-through of nominal shocks.