I can't imagine the show not taking place in NYC.

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Flight Of The Conchords have revealed that they were originally planning to set their TV series in England, but changed their mind after they found UK producers too dawdling compared their American counterparts.

 

Speaking at the HBO launch of the New Zealand duo's second TV series, Bret McKenzie and Jemaine Clement said that the show is set in New York because US broadcasters forced the English out of the running, reports BBC 6music.

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 http://www.nme.com/news/flight-of-the-conchords/42374