I use Bayesian VARs to forecast global temperatures anomalies until the end of the XXI century by exploiting their … cointegration with the Joint Radiative Forcing (JRF) of the drivers of climate change. Under a ‘no change’ scenario, the most … favorable median forecast predicts the land temperature anomaly to reach 5.6 Celsius degrees in 2100. Forecasts conditional on …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to … multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function …

-GVAR models for the one- and four-quarter ahead forecast horizon for standard macroeconomic variables (real GDP, inflation, the … practically all variables and at both forecast horizons. The comparison of prior elicitation strategies indicates that the use of … finding is confirmed by density forecast measures, for which the predictive ability of the SSVS prior is the best among all …

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …