In this study, the characteristics of deposit banks’ SME loans due to changes in macroeconomics, loan market, and SME production were examined through Jorda (2005)’s local cubic projection model. According to the empirical analysis results, SME loans responded most sensitively to changes in SME loan interest rates among macroeconomic variables. In the relationship between SME production and SME loans, the effect of policies included in SME loans was greater than procyclicality. In other words, when the SME economy declines (rises), SME loans increase (decrease). Through the rolling regression, the procyclicality of SME loans has been reduced over time, however policies included in SME loans are expected to expand and maintain SME production.