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...

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for four major currencies based on survey data provided by FX4casts. We consider economic policy, macroeconomic, and financial uncertainty as well as disagreement among CPI...

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...