A gunman who took a hostage and wounded two security guards at the headquarters of Venezuela's central bank has been killed.

The violent episode on Monday reverberated around a country already shaken by a weeks-long spasm of riots and looting.

Bank president Nelson Merentes says the man barged into the building around noon and set off metal detectors. He started shooting, wounded two guards and asked where the bank's directors were.

Merentes said the man then ran up the stairs and took a woman hostage before being killed by other guards.

The armed man has not been named, and it's unclear what motivated his actions.