This may sound silly, but does your daughter know the story about Chicken Little? You know, the whole, “the sky is falling?” If she doesn’t, and I am aware that she is maybe a bit old for the story; or, even if she knows the story, it is time to revisit the book. Then, discuss the book, not you explaining, but have your daughter tell you what the book means. Then, put one of her stories into context and explain why it’s the same thing. When she really needs you, that might just be the time you decide that she’s lying.
It’s normal, but needs to be corrected. Punishing, like some of the things I can remember from friends or growing up – soap in the mouth, spanking, humiliation – I had a friend who’s parents would tell the recent lies to all their friends – can backfire and make the situation worse. The thing is, she’s not at the 6yr old, testing boundaries about lies stage, she’s 9 and really can understand that lying is not a good thing to do. It’s really time to impress upon her how serious lying is – what it leads too. Losing someone’s trust is a huge thing, and it takes a long time to earn it back, again.
Encourage the imagination, maybe buy her a special book to write her stories in; but, tell her there are rules. The fantasy stays in the book. Lies, they can’t be in daily life.
Now, in regards to this one child, I would wonder why she lies about this one girl. Is there something that you may need to be aware of? Do you think a note (without your daughter really knowing) to her teacher asking about this one girl a possible idea, just to make sure there aren’t any issues that you may need to be aware of? I mean, you don’t need to send a note, “My daughter is a liar and I need to see what is going on.” You might just want to touch base with her teacher.
I do think there should be consequences to the continued bad habit, you can’t reward her with journals and things like that if the habit continues. You could explain that even in court, there are consequences for perjury – explain what perjury is – then come up with a consequence for lying.
It might take a little time, but you really need to impress upon her how serious this can be and that there is a zero tolerance policy in your house.