Forecasting Key Macroeconomic Indicators in Ghana Using a Time-Varying VECM with Conformal Prediction Intervals
DOI:
https://doi.org/10.54536/ajase.v4i1.5752Keywords:
Conformal Prediction, Exchange Rate Forecasting, Ghana, Inflation, Monetary Policy, Time-Varying VECMAbstract
This paper presents a six-month-ahead forecast of three key Ghanaian macroeconomic indicators: the USD/GHS exchange rate, the Consumer Price Index (CPI) and the Monetary Policy Rate (MPR). A Time-Varying Vector Error Correction Model (TV-VECM) is utilized to capture dynamic interrelationships among the variables. Conformal prediction intervals are incorporated to quantify uncertainty under minimal distributional assumptions. The results suggest moderate currency depreciation, persistent inflationary trends and stability in nominal interest rates over the forecast horizon.
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Copyright (c) 2025 Chinton Emmanuel, Donkoh Kojo Isaac, Acquah Oware Nana Emmanuel
This work is licensed under a Creative Commons Attribution 4.0 International License.
