‘Grexit’ may endanger these surprise countries

Fears of contagion from a "Grexit" have focused on the euro zone, but a messy exit from the currency union could also endanger the former-Communist countries bordering Greece.

As doubts mount over Greece's future in the euro zone, Capital Economics said on Thursday that the so-called frontier markets—countries that are too small in economic terms to be part of the emerging markets mainstream—bordering the country to the north were at risk.

"The growing threat of a Greek exit from the euro zone has cast a shadow over the outlook for European frontier markets," said John Ashbourne, Gareth Leather and Jason Tuvey in the Capital Economics report.

Serbia (formerly part of Yugoslavia) and Bulgaria, which borders Greece to the north east, were named as the most vulnerable frontier markets to a Grexit, "particularly if it leads to financial stress in the wider euro zone."

Romania, located to the north of Bulgaria, was also named as among the most at risk from a Grexit.

As months of negotiations between Greece and its creditors have failed to see a much-needed debt-for reforms deal and the country must shortly make a key repayment to the International Monetary Fund, a Grexit is viewed by markets as an increasingly likely possibility.

"Admittedly, the reaction in financial markets has so far been muted. And the problems in Greece pose little threat to frontiers elsewhere in the world. Even so, fears are mounting," the report's authors said.

Greece's debt crisis: It all started in 2001…

Yannis Behrakis | Reuters

Greece joined the European Union in 1981, shortly ahead of Portugal and Spain, and was one of the founding members of the euro zone.

But while it is viewed as part of "core" Western Europe in geopolitical terms, location-wise it is actually part of the south-east European Balkan states, bordering the former Communist states of Albania, Macedonia and Bulgaria, rather than Germany or France.

Earlier this month, Capital Economics warned that eastern Europe was vulnerable if problems in Greece resulted in financial stress, and therefore weaker growth, in the rest of the euro zone. It highlighted that eastern European countries' exports to the single currency area were equivalent to between 15 percent and 50 percent of their gross domestic product.

"Given the depth of these trade ties, it's unsurprising that eastern European exports have followed growth in the euro-zone closely," the independent research firm said in its "Emerging Europe watch" report.

World's best performing frontier markets

Narvikk | E+ | Getty Images

Furthermore, bank subsidiaries in Macedonia, Romania and Bulgaria retain direct financial links with Greece, as well as the rest of the euro zone.

Greece-owned banks account for around 20 percent of Macedonia's banking sector, for instance, according to emerging market-focused Standard Bank. Indeed, Stopanska Banka, one of the country's largest banks, is owned by National Bank of Greece.

"The probability of a downside scenario in which a Greek exit from the euro zone triggers a fresh slowdown across Eastern Europe is on the rise," said Capital Economics.

—By CNBC's Katy Barnato, follow her on Twitter @KatyBarnato.