Federal Parliament is set to conduct its first comprehensive investigation into the case for a national anti-corruption watchdog after Opposition Leader Bill Shorten threw his support behind an inquiry.

Mr Shorten said reform needed to go beyond the independent parliamentary expenses system proposed by Malcolm Turnbull to also include "an open and honest discussion" about whether Australia should have a federal Independent Commission Against Corruption (ICAC).

"For me, reform doesn't just stop at parliamentarians' expenses," Mr Shorten told reporters on Monday at his first press conference since returning from his summer holidays.

"It must include greater transparency, greater accountability on political donations – and no discussion about electoral reform and rebuilding the confidence of Australians in the political process can take place without having an open and honest discussion about a federal ICAC.