Changryong Baek, Seunghyun Moon, Seunghyeon Lee
arXiv 19 Sep 2025 · Econometrics
arXiv:2509.16115 · PDF · DOI · OpenAlex · Extracted main text
We introduce KRED (Korea Research Economic Database), a new FRED MD style macroeconomic dataset for South Korea. KRED is constructed by aggregating 88 key monthly time series from multiple official sources (e.g., Bank of Korea ECOS, Statistics Korea KOSIS) into a unified, publicly available database. The dataset is aligned with the FRED MD format, enabling standardized transformations and direct comparability; an Appendix maps each Korean series to its FRED MD counterpart. Using a balanced panel of 80 series from 2009 to 2024, we extract four principal components via PCA that explain approximately 40% of the total variance. These four factors have intuitive economic interpretations, capturing monetary conditions, labor market activity, real output, and housing demand, analogous to diffusion indexes summarizing broad economic movements. Notably, the factor based diffusion indexes derived from KRED clearly trace major macroeconomic fluctuations over the sample period such as the 2020 COVID 19 recession. Our results demonstrate that KRED's factor structure can effectively condense complex economic information into a few informative indexes, yielding new insights into South Korea's business cycles and co movements.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
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|---|---|---|---|---|---|
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Showing the top 10 of 29 scored citations.