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

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.