Danish police is seen outside a local police station, following an explosion in Copenhagen, Denmark on Saturday. Reuters

An explosion damaged a police station in Copenhagen early on Saturday, in the second blast to hit the Danish capital in four days.

No one was injured in the blast, which happened outside a station in the Norrebro, just outside the city centre, police said on Twitter.

On Tuesday, one person was slightly injured in an explosion outside the Danish Tax Agency's office, in what police said was a deliberate attack.

Danish policeman keeps watch outside a local police station, following an explosion in Copenhagen, Denmark on Saturday.

Police told Reuters it was too early to say whether the two blasts were connected, but could not immediately comment further.

Police were searching for a man running from the scene of the blast, Ekstra Bladet said.

Serious attacks or violence are rare in the small Nordic country of 5.7 million people that prides itself on a reputation for safety and social tolerance.

Reuters