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This paper reflects the views of the authors and does not represent the official view of the Bank of Greece. All mistakes are solely the responsibility of the authors. This paper investigates the determination of wage and price inflation in Greece over the last twenty years by applying recent developments in the field of multivariate cointegrated systems. In particular it draws on recent work by Hall, Henry and Greenslade (1999) which investigates the performance of a range of tests of identification in small samples and recommend a particular sequence of testing and nesting of the model. Using these techniques we argue that macroeconomic policy in Greece has been one of the main driving forces behind the determination of inflation. In particular we are able to clearly isolate successful regime periods and less successful ones. We are also able to then use the estimated model to investigate the possible effects of either extending or shortening some of these regimes on Greek economic history. JEL Classification