An Empirical Study of Liquidity Risk of Commercial Banks in China-Based on Gray Prediction Model

Since the world financial crisis broke out in 2008, the management of bank liquidity became one of the most important problem in almost countries. In this paper, we based on the gray prediction model, measured the commercial bank liquidity gap as the index, forecasted the 15 Chinese listed banks overall liquidity risk. The model result shows that, the demand of liquidity of the listed bank has surpassed the supply of liquidity in the fourth quarter of 2010. The central government of China took proactive fiscal policy and prudent monetary policy decisively. However the situation of the liquidity risk of China in the second quarter of 2011 is still grim. Accordingly, for Central Bank of China, in order to maintain financial system security and stability, strengthening the management of the liquidity is a pressing matter of the moment.