  Even if the fundamental action of gravity is local, the corresponding quantum
effective action, that includes the effect of quantum fluctuations, is a
nonlocal object. These nonlocalities are well understood in the ultraviolet
regime but much less in the infrared, where they could in principle give rise
to important cosmological effects. Here we systematize and extend previous work
of our group, in which it is assumed that a mass scale $\Lambda$ is dynamically
generated in the infrared, giving rise to nonlocal terms in the quantum
effective action of gravity. We give a detailed discussion of conceptual
aspects related to nonlocal gravity and of the cosmological consequences of
these models. The requirement of providing a viable cosmological evolution
severely restricts the form of the nonlocal terms, and selects a model (the
so-called RR model) that corresponds to a dynamical mass generation for the
conformal mode. For such a model: (1) there is a FRW background evolution,
where the nonlocal term acts as an effective dark energy with a phantom
equation of state, providing accelerated expansion without a cosmological
constant. (2) Cosmological perturbations are well behaved. (3) Implementing the
model in a Boltzmann code and comparing with observations we find that the RR
model fits the CMB, BAO, SNe, structure formation data and local $H_0$
measurements at a level statistically equivalent to $\Lambda$CDM. (4) Bayesian
parameter estimation shows that the value of $H_0$ obtained in the RR model is
higher than in $\Lambda$CDM, reducing to $2.0\sigma$ the tension with the value
from local measurements. (5) The RR model provides a prediction for the sum of
neutrino masses that falls within the limits set by oscillation and terrestrial
experiments. (6) Gravitational waves propagate at the speed of light, complying
with the limit from GW170817/GRB 170817A.
