This paper investigates the dynamic lead-lag relationships among subprime loan, foreclosures, percent of loan past due and housing markets of the USA.  The current meltdown of the U.S. housing market and the subsequent meltdowns of housing markets in Europe and Asia spark renewed interest in this timely topic.      To implement this study, quarterly data are employed for the first quarter of 1979 through fourth quarter of 2008. A simple model used by Hamilton (2003) is estimated to derive the results. The findings of this study are expected to enhance our understanding of their inter-relations. An appreciation of macroeconomic dynamics of housing market, subprime loan, and foreclosures may shed light on the markets’ response to monetary policy.
JEL Classification: E44
Keywords: Subprime mortgage, home foreclosures, quantile regression, Center for Responsible Lending, DF-GLS