[Daox]

Here is some proof for you:

http://www.swri.org/3pubs/ttoday/Sum...n-and-Cool.pdf

Their conclusion:

The results showed that, by adding cooled EGR systems, it is possible to decrease fuel consumption by 5 percent to 30 percent, with the largest improvement occurring in the typical enrichment region. The results also showed that EGR can reduce knock, resulting in improved combustion phasing with a corresponding decrease in fuel consumption and exhaust temperatures. Adding EGR led to lower peak cylinder temperatures and engine heat rejection, resulting in improved thermodynamic efficiency and a reduced heat rejection requirement from the engine block. Finally, the high levels of EGR used in the study reduced CO emissions by 30 percent and NOx by up to 80 percent. The results indicate that adding high levels of EGR to gasoline engines is a very cost-effective way to reduce fuel consumption as well as emissions.