Part of it has to do with our sensory system (hearing, seeing, smelling, and feeling) our bodies are constantly getting input from those senses. For each of our senses there are inputs that make them excited or calmed. For our sense of feeling, deep pressure and compression are calming inputs while light touch can be exciting input.
So a heavy blanket will give your body an input of deep pressure and compression making your brain feel calmer. It’s another reason humans hug to comfort each other, it provides pressure and compression making the person being hugged feel calmer.
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