The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called six leading research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to identify the shocks underlying the business cycle. It is tested whether these shocks can explain the forecast errors. The empirical results suggest that, in general, the shocks are helpful in explaining the forecast errors. However, the correlations are rather weak. In addition, lagged shocks help also to explain the mispredictions of the institutes. Thus, forecasters' expectations are not rational.