Not really, they glance up & that's about it! They are OK with fireworks too, but jump sometimes for the really loud single bangs.
You can get a calming spray called 'Pet remedy' its for dogs, cats, horses, rabbits & rodents. All the ingredients are natural & it has an immediate effect. It's about £14 at pets at home, but you can get a smaller bottle online.
I've never had dogs, but our neighbours do. Some things can drive them mad barking, while my moggies are chilling! Especially when the owners are out.