Generalisation Bounds of Zero-Shot Economic Forecasting Using Time Series Foundation Models

This study investigates the transfer learning capabilities of Time-Series Foundation Models (TSFMs) under the zero-shot setup, to forecast macroeconomic indicators. New TSFMs are continually emerging, offering significant potential to provide ready-trained and accurate forecasting models that generalise across a wide spectrum of domains. However, the transferability of their learning to many domains, especially economics, is not well understood. To that end, we study TSFM’s performance profile for economic forecasting, bypassing the need for training bespoke econometric models using extensive training datasets. Our experiments were conducted on a univariate case study dataset, in which we rigorously back-tested three state-of-the-art TSFMs (Chronos, TimeGPT, and Moirai) under data-scarce conditions and structural breaks. Our results demonstrate that appropriately engineered TSFMs can internalise rich economic dynamics, accommodate regime shifts, and deliver well-behaved uncertainty estimates out of the box, while matching and exceeding state-of-the-art multivariate models currently used in this domain. Our findings suggest that, without any fine-tuning and additional multivariate inputs, TSFMs can match or outperform classical models under both stable and volatile economic conditions. However, like all models, they are vulnerable to performance degradation during periods of rapid shocks, though they recover the forecasting accuracy faster than classical models. The findings offer guidance to practitioners on when zero-shot deployments are viable for macroeconomic monitoring and strategic planning.