Quantifying the contagion risk from Greece – Addendum
· Contagion from Greece to EM assets has been limited so far, but there is scope for it to increase in case of a Graccident.
· Although our basline scenario envisages a deal between Greece and its creditors, recent stalemate in the negotiations raises the risks of a Graccident.
· We try to quantify the contagion risk by estimating the strength of volatility spillovers from the European periphery to EM markets. EM FX is most impacted, while EM rates and EM credit are less so. EM assets in CEEMEA would see the hardest hit followed by LatAm. Asia would be largely insulated.