AbstractObjectiveTo test for multicausality between government policy, health outcomes, economic performance, and citizen behavior during the COVID‐19 global pandemic.MethodsWe perform Granger‐causality tests to explore the interrelationship between four endogenous variables, social distancing policy, home isolation, balance rate, and average weekly COVID‐19 deaths, in the 26 states of Brazil. As exogenous variables, we included a linear time trend and a dummy for the week in which the World Health Organization (WHO) declared COVID‐19 a global pandemic.ResultsOur analysis of Granger causal ordering between the four variables demonstrates that there is significant heterogeneity across the Brazilian federation. These findings can be interpreted as underscoring that there is no common model applicable to all states, and that the dynamics are context‐dependent.ConclusionOur suggested approach allows researchers to account for the complex interrelationship between government policy, citizen behavior, the economy, and COVID‐related health outcomes.