This study empirically analyzes on hypothesis of pro-cyclicality of SME banking loan compared with large enterprise banking loan. The empirical model is designed as dynamic model, called as rolling vector-error correction model, to find out long-term equilibrium between economic condition and banking loan. The main results of study are as below. The economy affects significantly to determining of execution of SME loans by Korean banks in the long-term basis. It is proved on pro-cyclicality that SME loan significantly increases if economic condition is improved. However, we can not find the fact that pro-cyclicality does not exist in the case of large enterprise banking loan. As a result it is considered that the banks in Korea tend to execute SMEs loan more sensitive of economic condition than do large enterprises loan. In light of the fact, we imply that economic recession will make Korean banks diminish loan to SMEs resulting in more deterioration of achievements of SMEs.