Research of credit and deposit relationship with the diversification of China's capital market continues to improve and the financing channels, more and more important. Through the study on the volatility of the two, including ADF test, ARCH test and Granger test effect, results show that, China's credit funds and deposits is not ARCH effects of fluctuation, the deposit has certain influence on the credit funds, there is no necessary link between the two . The credit market in China is maturing.