The Promise of Time-Series Foundation Models for Agricultural Forecasting: Evidence from Commodity Prices

TL;DR

This paper demonstrates that modern time-series foundation models significantly outperform traditional methods and USDA forecasts in agricultural commodity price prediction, indicating a paradigm shift in forecasting approaches.

Contribution

It provides the first systematic evidence that modern time-series foundation models surpass traditional methods and USDA forecasts in agricultural market prediction.

Findings

Foundation models outperform traditional methods and USDA forecasts.

Time-MoE achieves up to 54.9% accuracy improvement.

Results suggest a paradigm shift in agricultural forecasting.

Abstract

Forecasting agricultural markets remains challenging due to nonlinear dynamics, structural breaks, and sparse data. A long-standing belief holds that simple time-series methods outperform more advanced alternatives. This paper provides the first systematic evidence that this belief no longer holds with modern time-series foundation models (TSFMs). Using USDA ERS monthly commodity price data from 1997-2025, we evaluate 17 forecasting approaches across four model classes, including traditional time-series, machine learning, deep learning, and five state-of-the-art TSFMs (Chronos, Chronos-2, TimesFM 2.5, Time-MoE, Moirai-2), and construct annual marketing year price predictions to compare with USDA's futures-based season-average price (SAP) forecasts. We show that zero-shot foundation models consistently outperform traditional time-series methods, machine learning, and deep learning architectures trained from scratch in both monthly and annual forecasting. Furthermore, foundation models remarkably outperform USDA's futures-based forecasts on three of four major commodities despite USDA's information advantage from forward-looking futures markets. Time-MoE delivers the largest accuracy gains, achieving 54.9% improvement on wheat and 18.5% improvement on corn relative to USDA ERS benchmarks on recent data (2017-2024 excluding COVID). These results point to a paradigm shift in agricultural forecasting.