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Wikipedia Manual of Style
Directions and regions
Regions that are proper nouns, including widely known expressions such as Southern California, start with a capital letter. Follow the same convention for related forms: a person from the Southern United States is a Southerner.
Directions (north, southwest, etc.) are not proper nouns and do not start with a capital letter. The same is true for their related forms: someone might call a road that leads north a northern road, compared to the Great North Road.
If you are not sure whether a region has attained proper-noun status, assume it has not.