How does the intravenous administration of cholecystokinin provoke panic attacks?
Emotions are often linked to chemical activity in the brain. Neurotransmitters such as serotonin , dopamine, norepinephrine etc are linked to inducing emotional states, therefore if you can take a drug which will increase the amount of a transmitter then you will respond accordingly e.g. MDMA > serotonin > feeling of escstacy/happiness (Meyer &amp; Quenzer, 2013).

In the case of Cholecystokinin (CCK), Singh et al found evidence suggesting that activation of the brain CCK-B receptor induces anxiety and that selective antagonists of this receptor represent a separate class of anxiolytic (relaxing) agents. 

Simply:


Inject drug  
drug reaches blood brain barrier  
drug crosses or is turned into drug that can cross (e.g. codiene > morphine) 
drug turns into neurotransmitter/ or precursor to (e.g. 5HTP > serotonin) 
binds to/ activates receptor this activation causes an emotional/physical
response


This process varies depending on the drug but that is loosely it as I understand it. Much of this taken from the Meyers textbook, which I read a long time ago so feel free to correct me. 

Singh, L., Lewis, A. S., Field, M. J., Hughes, J., &amp; Woodruff, G. N. (1991). Evidence for an involvement of the brain cholecystokinin B receptor in anxiety. Proceedings of the National Academy of Sciences, 88(4), 1130-1133.

Meyer, J. S., &amp; Quenzer, L. F. (2013). Psychopharmacology: Drugs, the brain, and behavior.