Table 3.

Models of Panic during the COVID-19 Pandemic (Pooled Factors).

Models of $ln\left(pani{c}_{c,t}\right)$:	Model 1		Model 2		Model 3
	$\beta$	S.E.	$\beta$	S.E.	$\beta$	S.E.
Internal Restrictions:
$\Delta Interna{l}_{c,t}$	0.130	0.025	0.191	0.072	0.178	0.064
$\Delta Interna{l}_{c,t-1}$	0.139	0.030	0.261	0.075	0.210	0.063
$\Delta Interna{l}_{f,t}$			0.457	0.182	0.445	0.176
$\Delta Interna{l}_{f,t-1}$			0.106	0.224	0.170	0.214
$\Delta Interna{l}_{c,t}\ast Interna{l}_{f,t}$			−0.055	0.029	−0.047	0.026
$\Delta Interna{l}_{c,t-1}\ast Interna{l}_{f,t-1}$			−0.086	0.030	−0.063	0.027
Stimulus Announcements:
$\Delta Sti{m}_{c,t}$	0.074	0.045	0.237	0.099	0.177	0.095
$\Delta Sti{m}_{c,t-1}$	0.073	0.044	0.092	0.094	0.075	0.097
$\Delta Sti{m}_{f,t}$			0.111	0.283	0.179	0.276
$\Delta Sti{m}_{f,t-1}$			0.015	0.268	0.000	0.263
$\Delta Sti{m}_{c,t}\ast Sti{m}_{f,t}$			−0.207	0.080	−0.165	0.076
$\Delta Sti{m}_{c,t-1}\ast Sti{m}_{f,t-1}$			−0.068	0.075	−0.060	0.072
Travel Restrictions:
$\Delta Trave{l}_{c,t}$	0.021	0.013	0.034	0.034	0.034	0.035
$\Delta Trave{l}_{c,t-1}$	0.014	0.015	−0.001	0.037	0.009	0.036
$\Delta Trave{l}_{f,t}$			0.025	0.100	0.041	0.098
$\Delta Trave{l}_{f,t-1}$			−0.052	0.081	−0.060	0.081
$\Delta Trave{l}_{c,t}\ast Trave{l}_{f,t}$			−0.008	0.008	−0.007	0.008
$\Delta Trave{l}_{c,t-1}\ast Trave{l}_{f,t-1}$			−0.001	0.008	−0.003	0.008
Domestic COVID-19 Cases:
$\Delta ln\left(C_{c,t}\right)$	1.381	0.140	0.513	0.147	0.394	0.144
$\Delta C_{c,t}$	0.004	0.001	0.002	0.001	0.002	0.001
$\Delta C_{c,t}\ast \Delta ln\left(C_{c,t}\right)$	−0.027	0.009	−0.010	0.008	−0.006	0.009
International COVID-19 Cases:
$\Delta ln\left(C_{f,t}\right)$			1.952	0.293	1.891	0.290
$\Delta C_{f,t}$			0.001	0.001	0.003	0.001
$\Delta C_{China,t}$			−0.008	0.007	−0.007	0.006
$\Delta C_{China,t}\ast Asi{a}_c$			0.049	0.017	0.067	0.017
Panic Terms:
$ln\left(pani{c}_{c,t-1}\right)$	0.285	0.012	0.237	0.012	0.205	0.012
$ln\left(pani{c}_{c,t-2}\right)$	0.242	0.012	0.199	0.012	0.174	0.012
Related Country Panic					0.712	0.058
Diagnostics:
AR1 Term of ${\hat{e}}_{c,t}$	−0.038	0.012	−0.011	0.012	−0.013	0.012
CSD Test (w/ $p$-value)	13.687	0.000	2.923	0.003	0.809	0.418
Sims Test (w/ $p$-value)	6.907	0.000	0.515	0.865	0.448	0.909
$R^2$	0.381		0.404		0.423

Note: WLS is used for estimation, where $N=54$ and $T=119$. The results for additional terms are available in the Online Appendix. The CSD Test refers to the (Pesaran, 2015) test with a null of weak cross-sectional dependence. The Sims Non-Causality Test refers to a F-test on the significance of three leads of the policy variables as suggested by Sims (1972).