diff --git a/src/test/CMakeLists.txt b/src/test/CMakeLists.txt
--- a/src/test/CMakeLists.txt
+++ b/src/test/CMakeLists.txt
@@ -3,6 +3,8 @@
 project(bitcoin-test)
 
 # Process json files.
+file(MAKE_DIRECTORY "${CMAKE_CURRENT_BINARY_DIR}/data")
+
 find_program(PYTHON python)
 function(gen_json_header NAME)
 	set(HEADERS "")