Digital currency is a significant change in the history of currency, an innovation in payment methods, and a certain challenge to commercial bank loan business. In perspective of dynamic analysis term, this article establishes a state space dynamic model and uses quarterly data and variables from 2015 to 2022 to calculate and test relationship parameters. By analyzing the dynamic relationship between variables, the correlation between digital currency and commercial bank loan business was obtained. The results indicate that digital currency had positive effect on bank loan in the first six months of 2015, but the positive effect of digital currency on loans began to weaken from the second half of 2015 until it turned into a negative impact in 2022. Digital currency’s growth does not increase bank loans, as well as leading to a decrease in bank loans. This result provides a platform for commercial banks to build upon and adjust strategies in response to the challenges posed by digital currencies.