The recent financial crisis led to such macroeconomic turmoil in transition economies that the ability of some countries to maintain their euro pegs was called into question. Others, such as Russia and Ukraine, were forced to devalue their currencies. How likely is it that one country's crisis could spread to its neighbours? To answer this question, monthly indices of Exchange Market Pressure (EMP) are constructed for seven transition economies. Impulse-Response functions and other tests show that Russia is a less likely source of a contagious currency crisis than are smaller, more advanced euro candidates such as Hungary.