Sweden's Prime Minister Fredrik Reinfeldt has asked his country to remain calm after what appears to be the first suicide bombing in Sweden's history.

A car exploded near a busy shopping street in central Stockholm on Saturday. It was the first of two explosions this weekend, but only the bomber was killed. Two people were injured.

Unconfirmed reports have identified the man as 28-year-old Taimour Abdulwahab from a small town in southern Sweden who attended the University of Bedfordshire in the English town of Luton.

An audio file, sent to Swedish news agency before the blast, referred to jihad. Still, police are investigating if the speaker is the person who set off the explosive.

"Now the Islamic state has been created. We now exist here in Europe and in Sweden. We are a reality," a man's voice said in the audio file. "I don't want to say more about this. Our actions will speak for themselves."