Adjustment of U.S. Treasury yields to the cointegrating relationship amid high intrapersonal uncertainty

Recent research has explored how individual differences in beliefs influence the market's response to public news. This latest study takes it a step further by incorporating the uncertainty that individuals feel about their own understanding of the market. Unlike previous studies, this research assesses how intrapersonal uncertainty affects the cointegrating relationship between short-term and long-term interest rates in the U.S. Treasury market. When Treasury yields deviate from the cointegrating relationship, we find that they take longer to revert to it in periods of high intrapersonal uncertainty.