KRED is a FRED-MD-compatible Korean macro database; PCA on 104 series yields four factors that support factor-augmented VAR evidence of strong US monetary transmission to Korea and tensor autoregression evidence of asymmetric financial spillovers.
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A Korean Macroeconomic Database for Data-Rich Policy Analysis and U.S.--Korea Dependence
KRED is a FRED-MD-compatible Korean macro database; PCA on 104 series yields four factors that support factor-augmented VAR evidence of strong US monetary transmission to Korea and tensor autoregression evidence of asymmetric financial spillovers.