Ferrell, who is married to Swede Viveca Paulin, was promoting his latest film Anchorman 2 when the discussion turned towards how Christmas is celebrated in Sweden.
"Have we any Swedes in the audience?" asked Ferrell when he spotted the raised hands of Skavlan and his colleague Johan Westman, who is Swedish, in the studio for the Graham Norton show.
To much laughter both Westman and Norwegian Skavlan played along with the gag as Ferrell singled them out for attention.
"Look at how stylish they are. Swedes, they always have a sense of style. Let's all just stare at the two Swedish guys. They love attention," quipped the actor.
Skavlan, who hosts the talk show broadcast on SVT in Sweden and NRK in Norway, is more used to being in the interviewer's chair than being in the audience and took the Swede baiting in good spirit.
(Ferrell/Skavlan gag begins at 6:30)
"We were invited to the filming by Norton and his producers and when we were called Swedes in the audience I felt that my shy colleague from Stockholm wasn't clear enough.
"I realize with hindsight that it was a fairly small thing to commit treason for," he told Norwegian daily Dagbladet.
Skavlan is one of Nordic television's biggest stars with his self-titled Friday night chat show pulling in more than 3 milion viewers in both Sweden and Norway.