Disagreement about macroeconomic fundamentals accounts for only part of the disagreement about future interest rates, creating a ‘‘disagreement correlation’’ puzzle. This puzzle arises because standard equilibrium models with belief differences predict a strong link between asset return disagreement and fundamental disagreement, a link not supported by the data. We address this puzzle by introducing a model where disagreement about future demand for savings—driven by disagreement over the prevalence of patient versus impatient investors in the economy—generates asset return disagreement. Our mechanism produces stochastic yield volatility, time-varying bond risk premia, and an upward-sloping yield curve. Empirically, we construct a proxy for demand disagreement by isolating the component of yield disagreement unrelated to disagreement about macro-fundamentals. This proxy is positively related to yields and their volatilities, and predicts future bond risk premia, consistent with the predictions of our demand disagreement model.