  We study the class of Banach spaces $X$ such that the locally convex space
$(X,\mu(X,Y))$ is complete for every norming and norm-closed subspace $Y
\subset X^*$, where $\mu(X,Y)$ denotes the Mackey topology on $X$ associated to
the dual pair $\langle X,Y\rangle$. Such Banach spaces are called fully Mackey
complete. We show that fully Mackey completeness is implied by Efremov's
property ($\mathcal{E}$) and, on the other hand, it prevents the existence of
subspaces isomorphic to $\ell_1(\omega_1)$. This extends previous results by
Guirao, Montesinos and Zizler [J. Math. Anal. Appl. 445 (2017), 944-952] and
Bonet and Cascales [Bull. Aust. Math. Soc. 81 (2010), 409-413]. Further
examples of Banach spaces which are not fully Mackey complete are exhibited,
like $C[0,\omega_1]$ and the long James space $J(\omega_1)$. Finally, by
assuming the Continuum Hypothesis, we construct a Banach space with
$w^*$-sequential dual unit ball which is not fully Mackey complete. A key role
in our discussion is played by the (at least formally) smaller class of Banach
spaces $X$ such that $(Y,w^*)$ has the Mazur property for every norming and
norm-closed subspace $Y \subset X^*$.
