After the subprime mortgage crisis, the international community concerns about the financial system procyclicality to an unprecedented degree, which becomes one of the core issues of Basel III trying to solve. Based on the dynamic panel model, this paper uses the unbalanced panel data of China's 37 domestic commercial banks during 2004—2012 year to empirically analyze procyclical behavior of capital adequacy Ratio of commercial banks in China. The empirical results show that there is procyclical behavior by commercial banks in China as banks do in Western developed countries, the financial crisis restrains procyclical behavior of commercial banks in China to some extent, but on the whole there is no change on the nature of the procyclical behavior, and with the economic downturn commercial banks in China attach more importance on the adjustment in capital adequacy ratio, i.e. there is asymmetrical effect of procyclical behavior at economic upturn and downturn. Chinese government and financial regulators should positively participate in macro-prudential policy research and design of international community, and make effort to solve the procyclicality problem of financial system in China.