This paper distinguishes between local and global risk information and disaggregates risk information dissemination in the interbank market based on specified behavioural mechanisms: information disclosure and transmission, information acquisition and decision-making. It then explores the mechanisms whereby such dissemination affects risk contagion in the interbank market and verifies through computational simulations how risk information dissemination, banks' information acquisition capability, and information disclosure strategies affect risk contagion in the interbank market. The study shows that risk information dissemination markedly increases-and greater bank information acquisition capability reduces-the scope of contagion in the interbank market. Moreover, the greater the tendency of banks is to disclose positive information, the greater the mitigating effect of this information on contagion in the interbank market. In addition, market noise has a positive effect on contagion, while the risk information transmission rate has a U-shaped influence on contagion.

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http://www.ncbi.nlm.nih.gov/pmc/articles/PMC9312419PMC
http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0270482PLOS

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