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In some books, the location can act as a character as much as the people - the raft that Pi is on in Yann Martel's The Life of Pi; Mars in Andy Weir's The Martian. It's hard to see how these books could have been set anywhere else.
In other books, the setting is far less relevant - the main thrust of the book is derived from the characters and their story could as easily be set in New York, London or Madrid. Gillian Flynn's Gone Girl is set in Missouri, but the location is largely irrelevant to the story.
Sometimes, the setting acts as an extra antagonist - the protagonist is set back in their journey, not by the actions of the antagonist, but by the location. It was the setting that made their progress more fraught or even impossible - for example, in Cormac McCarthy's The Road, the post-apocalyptic landscape acts as a significant antagonist.
Of course, a setting might be chosen neither because it's a significant character nor it's an extra antagonist. It could be somewhere the author is familiar with or it could be important to set a particular part of the book in that location. In my first book, The Wrong Kind of Clouds, one of the strands is set in Blantyre, Malawi. It could have been set in any number of countries and still work, but it's set in Blantyre, Malawi, because I know that city and have strong connections there. I know the way different aspects work, I know a little of the local language and I know the streets.
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This must have both its benefits and its pitfalls! It must be great fun to be able to invent the rules entirely and decide exactly what your invented world looks, feels, smells and sounds like. But an enormous amount of designing and planning must be involved to ensure that the world is credible and consistent. Of course, it's that level of detail and design that makes the world feel completely real to the readers, even if it's entirely fictitious. I doubt that the world Sarah Fine described in her young adult series The Guards of the Shadowlands really exists, but I could see it perfectly when I read the books.
Next time you're reading a book, take a look at the setting. Is it a character in itself? And is it friend or foe? Is it a real place? Have you been there? Or has the writer done a fabulous job of taking you to a new place (real or imagined) and letting you walk around in it?
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