The purpose of this study was to explore the interrelation degree of macroeconomic indicators and banking loan for SEMs. In this study, we use grey relation analysis to explore two groups of data before and after financial crisis of 2008. The result shows that the order is Exchange Rate, Annual Rate and Unemployment Rate et cetera before financial crisis of 2008. After 2008, the order is Annual Rate, Exchange Rate and Annual Growth Rate of M2, and so on. The above result of this study not only provides some insights to decision makers, but also supplies the deficiencies of theories.