["Bulletin of Economic Research, EarlyView. ", "\nABSTRACT\nThe study investigates the unprecedented nature of the housing crisis since 2006, utilizing the high‐dimensional dynamic factor model (DFM). The weakened capacities of old housing common factors in explaining state and Metropolitan Statistical Areas (MSA)‐level housing markets in the post‐crisis period provide supportive evidence for the unprecedented housing crisis. However, there is no evidence for instability in the disaggregate housing price and volume cycles, and the results indicate that the housing markets are hit by larger versions of old housing shocks as the crisis prevails nationwide. The predicted factors have superior performances in capturing housing prices than housing volumes in the post‐crisis period, and they fail to track large post‐2006 fluctuations in prices and their timings for some states and MSAs. The study sheds light on the challenge of monetary policies to stabilize the local housing markets, difficulties of risk management during the 2006–2009 crisis, and some investment diversification opportunities across disaggregate housing markets during 2011–2014.\n"]