This research report examines various Australian financial assets as hedges against both expected and unexpected inflation for the period March 1961 to June 1996. To investigate the consistency of relationships between various financial asset returns and both expected and unexpected inflation, six subperiods are examined. Regression results indicate that the inflation hedging abilities of various financial assets are unstable over different periods of time. Generally, common stock returns are poor hedges showing insignificant relationships with both expected and unexpected inflation. Interest rates, in general, become better inflation hedges after the deregulation of control of interest rates, and it is evident that short-term interest rates contain better inflation hedging abilities than long-term interest rates. Labour income is at least a partial hedge against expected inflation. Real estate is the best inflation hedge among those financial assets examined, and it is suggested to be the best financial instrument for investors to preserve its real value against inflation.