We document a novel set of facts about disagreement among professional forecasters: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement is downward sloping for real output growth, relatively flat for inflation, and upward sloping for the federal funds rate; (3) disagreement is time varying at all horizons. We propose a generalized model of imperfect information that can jointly explain these facts. We further use the term structure of disagreement to show that the monetary policy rule perceived by professional forecasters features a high degree of interest-rate smoothing and time variation in the intercept. •We document new facts about disagreement among professional forecasters.•These facts present a challenge to benchmark models of expectation formation.•We propose a multivariate model with informational frictions that jointly explains the facts.•Professional forecasters perceive monetary policy to be highly inertial.•They also perceive a rule with time-variation in the intercept.