Politicians and macro policymakers have identified regulatory weakness in the banking sector as the key cause of the Great Financial Crisis (GFC). This allows the easy apportionment of blame and the straightforward, if painful, reforms to banks’ operating procedures. In fact, the real economic damage was done by the world’s first coordinated real estate boom and slump which was facilitated by the rise of shadow banking but not caused by it. From the mid-1990s cheap goods from Asia suppressed inflation, permitting a long period of monetary stimulation. Cheap capital from the same source depressed long-term interest rates. Real estate markets, particularly after 2001, experienced explosive growth which stimulated excessive construction activity and bank lending. Real estate constitutes about 40% of the world’s wealth and central banks singularly failed to see the dangers arising from a collapse of values in this sector. This is the real story of the GFC, which is set out in this article.