Your scope and size of the story will determine how much Government and Religious entities are fleshed out/expanded upon. The wider your story and the more inclusive of those entities, the more depth you'll have to do with them. Otherwise, you don't need to go more than surface level. In otherwords; if your characters aren't getting intimate with those entities, then introduce them, utilize more generic details that give us a view of what they are like, then move on. I don't need to know all the different players on the board if I'll never actually see them move.
The same goes with the economy. We don't need to see the money moving, the inflation rates, or actual currency comparisons unless they're integral to the story. A basic idea of how much food, shelter, and supplies I can purchase with the coin of the region will suffice. Knowing the standard of living costs will give me a baseline idea of the world's poverty level. It'll also tell us how "rich" or "poor" the central cast is, and any other characters they come in contact with. Say a loaf of bread. Can they afford it? How many loaves can they buy without breaking the bank? Do they buy a few slices instead of the entire loaf? Do they eat it even if it molds? Or do they buy the entire loaf, use only a few slices, then toss out whatevers left because they don't need it? Does the loaf get purchased and unused until it molds, then gets tossed and replaced without so much as a blink? Stuff like that. Think real world application of money, then transpose it over your world. We know money and currency is important to society but how we each handle it and view it is different based on our circumstances, backgrounds, and future needs/goals.
The horror aspect actually is more secondary. It's a theme and has details. The world is "horror-esque", so you should be detailing your characters and the world as such. It'll paint the picture and get us oriented. However, remember; it's a norm in your world. So write it as such. If three arms or eldritch creatures are a daily sight, then people won't be freaking out over them. If they're like monsters that get hunted, then the hunters aren't going to freak out when they come in contact. Regular people might, but the hunters and those who are aware of them and have regular engagements will not. How they react is important, though. By that I mean rarity and commonplace features. Expectations of what will be faced by the main cast compared to the surprise factor of a new/unknown/unseen/unrecorded threat. I might be aware of bears but if I walk into a den and now I'm looking at a fucking rhino, I'm gonna be really god damn worried.
In essence, layout your common knowledge. Develop that baseline with your readers to set up the Rules of the World. Identify your common place details and separate them from the Uncommon and New that you'll be implementing. If it's not important to your story, cut it out. Trim the fat. Or, find a creative way to incorporate it. That way you don't fact-dump. Use small details, like throwing the bread away or eating the moldy slices to show where your character lays in the finance department rather than open their checkbook.
Hope this helps.
spice