I've recently lived in both countries and found it hard to believe that NZ was more expensive. A quick google offered these results of the Mercer 2008 Cost of Living survey.
Sydney continues to be the most expensive city for expatriates in this region, moving up six places in the overall ranking to reach 15th place (score 104.1). Melbourne follows in 36th place (score 94.2), jumping 28 places and Perth climbs 31 places to reach ranking number 53 (score 88.5).
Both Australian and New Zealand cities are moving up in the rankings due to the appreciation of their local currencies against the US dollar. New Zealand’s cities remain the less costly option for expatriates, however, with Auckland in 78th place (score 81) and Wellington in 93 (score 77.6).
Mercer’s survey covers 143 cities across six continents and measures the comparative cost of over 200 items in each location, including housing, transport, food, clothing, household goods and entertainment. It is the world’s most comprehensive cost of living survey and is used to help multinational companies and governments determine compensation allowances for their expatriate employees.