The Grundy index of a graph G = (V, E) is the greatest number of colours that the greedy edge-colouring algorithm can use on G. We prove that the problem of determining the Grundy index of a graph G = (V, E) is NP-hard for general graphs. We also show that this problem is polynomial-time solvable for caterpillars. More specifically, we prove that the Grundy index of a caterpillar is (G) or (G) + 1 and present a polynomial-time algorithm to determine it exactly.