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Reuters) - Libyan authorities have made four arrests in the investigation into the attack on the U.S. consulate in Benghazi in which the U.S. ambassador and three embassy staff were killed, the deputy interior minister said on Thursday. "Four men are in custody and we are interrogating them because they are suspected of helping instigate the events at the U.S. consulate," Wanis Sharif told Reuters. He gave no more details. U.S. ambassador to Libya Christopher Stevens and three other Americans died after the gunmen attacked the U.S. consulate and a safe house refuge in the eastern city of Benghazi on Tuesday night. The attackers were part of a mob blaming America for a film they said insulted the Prophet Mohammad. Demonstrators attacked the U.S. embassies in Yemen and Egypt on Thursday in protests against the film, and American warships were moved closer to Libya. President Barack Obama has vowed to bring to justice those responsible for the Benghazi attack, which U.S. officials said may have been planned in advance. Secretary of State Hillary Clinton said Washington had nothing to do with the video, which she called "disgusting and reprehensible".