A former Prime Minister says New Zealand First's donation scandal is disturbing.

The Electoral Commission is looking into whether the party has been filtering undeclared donations through a foundation in the same name.

Former Prime Minister Jim Bolger told Mike Hosking if parties are given a big donation, they need to be honest and declare it.

He says it's when donations are hidden, that people start asking questions.

"People become sceptical when donations are hidden. The issue has shown the rules around party donations need changing."

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