SARAJEVO, Feb. 22 (Xinhua) -- Bosnia and Herzegovina (BiH) has tightened security measures to the highest level after an explosive device was thrown at the U.S. embassy in Montenegro's capital Podgorica, director of BiH Directorate for Coordination of Police Bodies Mirsad Velic said Thursday.

At a meeting with the Chairman of Council of Ministers of BiH Denis Zvizdic, Vilic said that all police and law enforcement agencies have increased the security measures to the highest level.

The U.S. State Department has confirmed there was a small explosion near the U.S Embassy in Montenegro's capital city of Podgorica at approximately midnight local time.

The blasts broke out at 00:30 a.m. local time on Thursday (1130 GMT Wednesday). "Immediately before the suicide, the person threw an explosive device into the compound of the embassy from an intersection near the sports center in Podgorica," the Montenegrin government quoted the police on its Twitter account.

It added that the explosive device was most likely a hand grenade. Police investigation and identification of the assailant are under way.

Vilic said police have intensified measures and taken preventive measures to secure U.S. diplomatic and consular missions in BiH after the bombing incident.

The Directorate is continuously exchanging security information with police agencies in BiH and the Intelligence and Security Agency, Vilic said.

"Our legal jurisdiction is to secure diplomatic and consular missions... The increased security measures will be active for the next days, but we cannot specify until when exactly," Vilic added.

The U.S. Embassy in Podgorica warned U.S. citizens of "an active security situation at the embassy" and to avoid the embassy "until further notice".

Located in southeastern Europe, Montenegro has a coast on the Adriatic Sea to the southwest and borders Croatia, Bosnia and Herzegovina, as well as Albania.

The Balkan country declared independence on June 2006, after it separated itself from the Federal Republic of Yugoslavia, a federation it established with Serbia in 1992.