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Forecasting Key Macroeconomic Indicators in Ghana Using a Time-Varying VECM with Conformal Prediction Intervals

Year: 2025

Type: article

Abstract: 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.

Source: American Journal of Applied Statistics and Economics

DOI: 10.54536/ajase.v4i1.5752

Authors: Emmanuel Chinton, Donkoh Kojo Isaac, Emmanuel Nana Oware Acquah

Institutions: University of Cape Coast, Youngstown State University

Language: English

Topic: Forecasting Techniques and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4414615487

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