Table 4.

Models of Panic during the COVID-19 Pandemic (Country-Specific 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:
$\Delta Interna{l}_{c,t}$	0.142	0.025	0.188	0.064	0.197	0.064
$\Delta Interna{l}_{c,t-1}$	0.152	0.030	0.260	0.065	0.253	0.061
$\Delta Interna{l}_{f,t}$			0.496	0.183	0.489	0.176
$\Delta Interna{l}_{f,t-1}$			0.438	0.217	0.419	0.207
$\Delta Interna{l}_{c,t}\ast Interna{l}_{f,t}$			−0.056	0.026	−0.055	0.026
$\Delta Interna{l}_{c,t-1}\ast Interna{l}_{f,t-1}$			−0.086	0.026	−0.081	0.024
Stimulus Announcements:
$\Delta Sti{m}_{c,t}$	0.063	0.044	0.178	0.095	0.149	0.084
$\Delta Sti{m}_{c,t-1}$	0.042	0.048	0.064	0.097	0.049	0.089
$\Delta Sti{m}_{f,t}$			−0.052	0.274	−0.055	0.266
$\Delta Sti{m}_{f,t-1}$			0.302	0.264	0.307	0.257
$\Delta Sti{m}_{c,t}\ast Sti{m}_{f,t}$			−0.166	0.078	−0.146	0.072
$\Delta Sti{m}_{c,t-1}\ast Sti{m}_{f,t-1}$			−0.081	0.076	−0.066	0.072
Travel Restrictions:
$\Delta Trave{l}_{c,t}$	0.020	0.013	0.051	0.030	0.050	0.030
$\Delta Trave{l}_{c,t-1}$	0.023	0.015	0.038	0.036	0.040	0.035
$\Delta Trave{l}_{f,t}$			0.025	0.101	0.050	0.098
$\Delta Trave{l}_{f,t-1}$			−0.125	0.085	−0.139	0.083
$\Delta Trave{l}_{c,t}\ast Trave{l}_{f,t}$			−0.014	0.008	−0.014	0.008
$\Delta Trave{l}_{c,t-1}\ast Trave{l}_{f,t-1}$			−0.011	0.008	−0.012	0.008
Domestic COVID-19 Cases:
$\Delta ln\left(C_{c,t}\right)$	1.791	0.141	0.847	0.144	0.774	0.136
$\Delta C_{c,t}$	0.004	0.001	0.002	0.001	0.002	0.001
$\Delta C_{c,t}\ast \Delta ln\left(C_{c,t}\right)$	−0.047	0.009	−0.027	0.008	−0.026	0.008
International COVID-19 Cases:
$\Delta ln\left(C_{f,t}\right)$			2.171	0.288	2.273	0.280
$\Delta C_{f,t}$			0.002	0.001	0.003	0.001
$\Delta C_{China,t}$			−0.007	0.006	−0.006	0.006
$\Delta C_{China,t}\ast Asi{a}_c$			0.066	0.017	0.071	0.016
Panic Terms:
$ln\left(pani{c}_{c,t-1}\right)$	0.312	0.012	0.241	0.012	0.232	0.012
$ln\left(pani{c}_{c,t-2}\right)$	0.229	0.012	0.167	0.012	0.159	0.012
Related Country Panic					0.492	0.042
Diagnostics:
AR1 Term of ${\hat{e}}_{c,t}$	−0.048	0.012	−0.012	0.012	−0.027	0.012
CSD Test (w/ $p$-value)	17.639	0.000	3.531	0.000	0.620	0.535
Sims Test (w/ $p$-value)	9.430	0.000	0.638	0.765	1.030	0.413
$R^2$	0.432		0.463		0.476

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).