A Korean Macroeconomic Database for Data-Rich Policy Analysis and U.S.--Korea Dependence

Changryong Baek, Seunghyun Moon and Seunghyeon Lee

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Abstract: We introduce KRED (Korea Research Economic Database), a FRED-MD-compatible monthly macroeconomic database for Korea designed for data-rich policy analysis and cross-country comparison. KRED contains 125 monthly series from ECOS, KOSIS, and administrative labor-market sources, with coverage back to 1960. Using a balanced panel of 104 series over 2009:06--2025:12, principal-components analysis extracts four factors that explain about 30% of total variation. These factors correspond to financial conditions, real activity, housing and real-estate credit, and labor-market and price pressures, and their diffusion indices summarize major Korean macroeconomic episodes. We then use KRED in two empirical applications. First, factor-augmented VARs show that U.S. monetary tightening transmits strongly to Korea and that factor augmentation yields a more coherent inflation response than a low-dimensional VAR. Second, a grouped U.S.--Korea tensor autoregression shows that cross-country dependence is concentrated in financially oriented blocks, with stronger transmission from the U.S. financial block to Korea than in the reverse direction, while spillovers in real activity and housing are much weaker. KRED thus provides a transparent public database for Korean macroeconomic research and a useful building block for comparative work on macro-financial dependence in Asia.

Date: 2025-09, Revised 2026-04
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