Prime Minister John Key says the leadership coup in Australia shows how brutal politics can be and how important it is for leaders to keep close to their caucuses and the voters.

Yesterday, Mr Key was the first leader to congratulate Julia Gillard after the Labor caucus replaced former Prime Minister Kevin Rudd with her.

"What it shows you is that things can move very rapidly in politics and you can't take for granted your position," Mr Key said later.

"Hopefully, I won't repeat the same thing this side of the Tasman."

Six months ago, Mr Rudd was Australia's second-most popular Prime Minister, after Bob Hawke.

"So it is a dramatic fall in six months."

Mr Key, who has high popularity himself, told reporters the leadership change did not make him nervous, "but it shows you the brutal side of politics in every part of the world and it shows you need to keep closer to your caucus and obviously to the people, the country you represent".

Mr Key acknowledged his constructive relationship with Mr Rudd and said the Australian had always been a gracious host.

"I am confident that the very close relationship between the two countries will remain strong."

Mr Rudd was to have made an official visit to Wellington next Tuesday, including a state luncheon and an invitation to speak to the Parliament.

Julia Gillard will not come in his place.

Mr Key said he and she would speak on the phone again some time in the coming weeks.

The PM attributed Mr Rudd's fall to his shelving an emissions trading scheme - which he could not get through the Senate - and the resources tax on mining profits.

Labour leader Phil Goff congratulated Julia Gillard and said she was "a very impressive person".

He also acknowledged Mr Rudd, who, he said, had worked tirelessly for the country.

Former Labour Party president Mike Williams said it showed how "you can be a peacock one day and a feather duster the next".

Mr Williams said a recent poll showing Labor behind in marginal seats would have been in Australian MPs' minds, and the fact that de-selections of MPs as candidates were not uncommon in Australian Labor.

He believed that Australian politicians were more likely to act on polls because, with compulsory voting in Australia, the polls are more reflective of the eventual results.