In this paper we address what professional forecasters actually explain. We use spectral analysis and state space modelling to decompose actual economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by the Survey of Professional Forecasters we regress the forecasts on the estimated components in both the spectral analysis and the state space model. We find for both analyses that the professional forecasters can predict almost all variation in the time series due to the trend and the business-cycle, but the forecasts do not possess any information about the variation in the irregular component. Compared to model-based forecasts the professional forecasts contain no new information. The fact that a simple state space model can produce almost the same predictions supports this argument.