Some people believe that alcohol soothes anxiety. However its effect is only temporary and in fact alcohol is both a sedative and a depressant. Your body can build tolerance to it's initial de-stressing effect which makes anxiety even more difficult to deal with. It is also a diuretic, and may lead to dehydration, and even mild dehydration can cause depression.
More details on the negative effects of drinking alcohol during anxiety can be found here
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