In this paper, the stylized features of incomplete and asymmetric information in the interbank market leading to banks’ precautionary behaviors are introduced. Based on banks’ stylized behavioral rules, the influencing mechanism of information diffusion on interbank risk contagion is analyzed, and how the existence of information diffusion and banks’ information-obtaining ability influence the interbank risk contagion is verified through computational simulations. The results show that information diffusion can significantly accelerate the process of and magnify the extent and probability of interbank risk contagion, and improving banks’ information-obtaining ability could lower the speed and extent of the interbank risk contagion. This paper also finds and explains some special phenomena of rollover risk contagion when information diffusion exists: the saltatory risk contagion, the circular liquidity trap, and the risk discovery of information diffusion.

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.