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Harmonic/music theory shouldn't be thought of as rules that can't be broken -- but rather as a coherent system to try to explain why some things sound good to us.
So you could think of defining key changes, modulations, etc, as finding a way to fit general theory to specific instance.
But, while theory shouldn't be considered unbreakable rules, knowing how music goes together can provide enormously helpful tools in understanding why what we're doing works -- and, when we're stumped, it can give us valuable insight into what types of things might work in any given context.
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