Using exchange rate data of 47 countries which consists of Eurozone countries，non-euro EU countries， a few developed countries and BＲICS countries from 2000 to 2016，this paper examines the existence of contagious effect of exchange rate risk with the method of Fisher Z transformation of the correlation coefficient． This paper further distinguishes the contagious effect into two types，pure contagion and shift contagion． The results show that there are sharp fluctuations in almost all the foreign exchange markets after subprime crisis and European sovereign debt crisis，but there still exists contagious effect of exchange rate risk between a handful of countries and the contagious sources，which means that most impacts of these crises are interdependent． Besides，shift contagion is remarkable during the subprime crisis while pure contagion is remarkable during European sovereign debt crisis． Both the links among real economies and investor’s expectation would significantly influence the exchange rate markets．