The aim of this paper is to examine the existence and direction of the relation between output and prices in Greece, in a short-run Granger causal sense, over the period 1986Q1-2005Q4. More specifically, the Granger causality test is employed in order to specify the direction of causality between the output gap and the surprise inflation. The expected inflation was estimated using a dummy variable in order to capture the shift of the regime after the adoption of the common currency. Next, we employed a number of recently developed time series econometric techniques such as unit root testing and multivariate cointegration. A first indication of a causal relationship between prices and output appeared after the estimation of two specifications of the Phillips, namely a New Keynesian Phillips Curve and a Lucas Aggregate Supply Function, including an exchange rate term as a second driving variable in both the formulations which, however, was found not to be statistically significant. The indication of a unidirectional causal relationship running from prices to output was further strengthened after computing the Granger test for causality.