From canismajor.com
Puppies may pick up fear or discomfort with storms from their people, so it is important to develop a matter-of-fact attitude when dealing with a frightened youngster. Let the pup stay close, reassure him that he's fine, and coax him to play to divert his attention, but don't hover over him, stroke him incessantly, or cuddle him anxiously.
Storms that develop from rapidly falling barometric pressure can subliminally affect an animal, so the dog may demonstrate anxiety even before the storm can be heard. Again, it is important to reassure the dog that he is fine and to not exaggerate the situation.
Dogs that continue to panic when a storm approaches and dogs that develop such apprehension as adults may have to be reconditioned. Some behaviorists recommend creating an artificial storm with environmental tapes or stereo recordings. The reconditioning procedure is time-consuming but has a high success rate.
# Begin by finding the dog a safe place on a rug or a bed that he thinks of as his own. Then play with the dog in the vicinity of the rug, teach him to down-stay on the rug, and feed him treats there. Use a particularly appealing treat, not simply a dog biscuit.
# When the dog is comfortable on the rug, turn on the recording very softly, so you can barely hear it. Give him a bit of treat every few seconds unless he is showing signs of anxiety. The reward should be for a lack of fear; giving the treat when he is panting, drooling, or otherwise escalating nervousness rewards the fear itself. After a few minutes, increase the volume of the recorded storm. If the dog becomes fearful, lower the volume for another five minutes, then raise it again, ever so slightly. The idea is to create a storm that rumbles in, rages for a few minutes, then travels on.
# When the dog is relaxed on his rug during a half-hour "storm," play the recordings under different circumstances--when the dog is eating, when you are working about the house in other rooms, etc. Then, when the dog is relaxed under these circumstances, set the stereo on a timer and leave the house for a short time. Remember to set the volume low at first.
Thunderstorms are a constant presence in most area's summers, leaving little time to desensitize a dog in between episodes. If a storm happens between sessions, do what you can to calm the dog without adding to his panic. If he needs a dark room, let him have it. If he wants to lean against your leg, let him do so. If he follows you from room to room, accept his presence without overreacting. If you have successfully been using mild tranquilizers, continue treatment until reconditioning is complete.
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