diff --git a/Makefile.am b/Makefile.am
index 6e2aa7fe01..047b2f2178 100644
--- a/Makefile.am
+++ b/Makefile.am
@@ -226,6 +226,7 @@ maintainer-clean-local: clean-precomp
 TESTVECTORS = src/wycheproof/ecdsa_secp256k1_sha256_bitcoin_test.h
 
 src/wycheproof/ecdsa_secp256k1_sha256_bitcoin_test.h:
+	mkdir -p $(@D)
 	python3 tools/tests_wycheproof_generate.py src/wycheproof/ecdsa_secp256k1_sha256_bitcoin_test.json > $@
 
 testvectors: $(TESTVECTORS)