School of Finance, Shanxi University of Finance and Economics, Taiyuan, China.
PLoS One. 2022 Jul 25;17(7):e0270482. doi: 10.1371/journal.pone.0270482. eCollection 2022.
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.
本文区分了局部风险信息和全局风险信息，并基于特定的行为机制对银行间市场的风险信息传播进行了细分：信息披露和传递、信息获取和决策。然后，本文探讨了这种传播机制如何影响银行间市场的风险传染，并通过计算模拟验证了风险信息传播、银行的信息获取能力以及信息披露策略如何影响银行间市场的风险传染。研究表明，风险信息传播显著增加——银行信息获取能力越强——银行间市场的传染范围越大。此外，银行披露正面信息的倾向越大，信息对银行间市场传染的缓解作用越大。此外，市场噪声对传染有正向影响，而风险信息传递率对传染的影响呈 U 型。
