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Effie is a short form of the forename Euphemia. There are two main types of such shortenings: they are convenient for writing, e.g. in lists; or they are essentially spoken pet-names, and thus informal. (See Conventional abbreviations for forenames.)

Short form Long form Informal or written Other short forms Remarks
Effie Euphemia informal (full name shares the root of euphemism

There is a list of similar names at Conventional abbreviations for forenames, as well as the category:short names

Note that any informal form may be spelled in different ways. Notably, any spelling listed that ends in '-ie' may be written with the ending '-y', and vice versa.
A central character in Walter Scott's novel The Heart of Midlothian is Effie Deans, the sister of the heroine Jeannie Deans.
The name of the eponymous heroine of the German novel Effi Briest (Theodore Fontane, 1894) is said to be her Christian name. There is no indication of it being an abbreviation.