Personally, I prefer to make up just enough of the setting to serve the story. If you start to create bits of the setting that are not immediately relevant, you might be tempted to mention them in passing, just for the heck of it. And if you mention them in passing, you might be tempted to explain them, and explain the way everything fits in. It's a particularly dangerous urge when you've got people giving you critiques that say, "What's all this about? Can you explain it a bit better?" And before you know it, you've stopped writing the actual story and filled your MS with a bunch of meaningless, boring facts and figures you've pulled out of thin air.
I have found you can get away with not mentioning some fairly substantial facts and figures. When you listen to people talk, they don't need to remind each other what country or city they're in. They don't need to remind each other what year it is, or who the prime minister/president is. All this is assumed knowledge. In fact, if someone had to ask who the president of their own country was, the answer wouldn't be a potted lecture on history and current events (summarized for the convenience of the reader). Instead, the answer would be, "Do you seriously not know? Wow. Now I've heard everything." You have the additional problem of how to work this information naturally into the text. So, on the whole, why bother? Is something that can't be inferred from your character's immediate environment and circumstances really all that essential?
I occasionally write fantasy, where people have got the world building bug something bad. Sometimes that means you crack the spine of a fantasy book and a stream of nonsense syllables assaults your eyes, driving you straight back out of the story again. These are supposed to be the foreign language names of exotic places and people, but it winds up looking more like a page out of
Finnegans Wake. So even in fantasy, I prefer to reign in the setting. Rather than inventing names for characters, I prefer to use real names -- old fashioned or romantic sounding names, if this is high fantasy, or uncommon variations of common names. I'll allow myself a handful of neologisms for setting (just to keep with the spirit of it), but otherwise it's "the market" or "the hill" or even names of actual places.