A prominent feature of quantum spin liquids is fractionalization of the spin degree of freedom. Fractionalized excitations have their own dynamics in different energy scales, and hence, affect finite-temperature ($T$) properties in a peculiar manner even in the paramagnetic state harboring the quantum spin liquid state. We here present a comprehensive theoretical study of the spin dynamics in a wide $T$ range for the Kitaev model on a honeycomb lattice, whose ground state is such a quantum spin liquid. In this model, the fractionalization occurs to break up quantum spins into itinerant matter fermions and localized gauge fluxes, which results in two crossovers at very different $T$ scales. Extending the previous study for the isotropic coupling case [J. Yoshitake, J. Nasu, and Y. Motome, Phys. Rev. Lett. ${\textbf 117}$, 157203 (2016)], we calculate the dynamical spin structure factor, the NMR relaxation rate, and the magnetic susceptibility while changing the anisotropy in the exchange coupling constants, by using the dynamical mean-field theory and the continuous-time quantum Monte Carlo method based on a Majorana fermion representation. We find that the system exhibits peculiar behaviors below the high-$T$ crossover whose temperature is comparable to the average of the exchange constants, reflecting the spin fractionalization in the paramagnetic region. Among them, the dichotomy between the static and dynamical spin correlations is unusual behavior hardly seen in conventional magnets. We discuss the relation between the dichotomy and the spatial configuration of gauge fluxes. Our results could stimulate further experimental and theoretical analyses of candidate materials for the Kitaev quantum spin liquids.
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