Saudi air defence on Monday intercepted a ballistic missile fired from Yemen, the Arab coalition backing the Yemeni government said, slamming a "dangerous escalation" as peace talks with rebels falter.

"The launch of the missile at this time is a dangerous escalation by Huthi militias" and the forces of ousted president Ali Abdullah Saleh, said the Saudi-led coalition in a statement.

The missile is the first to be reported fired from Yemen at Saudi Arabia since UN-sponsored peace talks opened last month in Kuwait.