A multivariate GARCH model is used to investigate the pro-cyclicality of China's commercial banks,using the data of GDP growth rate and the remaining loan quantity at the end of each year of commercial banks in China from 1978 to 2005.The relationship between China's business cycle and credit cycle is also examined.The empirical result indicates that the procyclicality of China's commercial banks is significant,their contemporary fluctuation is not only affected by their own preceding fluctuation,but also affected crossly by that of the other.