Palm Sunday, also known as Passion Sunday, is the first day of Holy Week which ends with Easter the following Sunday. It commemorates Jesus' entry into Jerusalem prior to be crucified a few days later. Actual ceremonies typically include a procession of palm fronds which are blessed and will later be burned, their ashes used in the next year's Ash Wednesday.
The earliest evidence of Palm Sunday events can be traced back to Jerusalem in the 4th century, according to Peregrinatio Egeriae, the travel diary of a woman had traveled to Jerusalem and observed the festivities - including the key ritual of a procession with palm fronds. The celebration of Palm Sunday doesn't appear to have caught on in the West until some time around the 8th century, based upon Gobbio Missal, a Gallican sacramentary.
In the Middle Ages, the process and blessing of the palm fronds was very elaborate, involving a great deal of singing, chanting, and processions that went from one local church to another. Later the ceremonies became simplified in order to focus more on the death and suffering of Jesus and the central part of the day involves a reading from one of the passion stories in the gospels - thus the name Passion Sunday. Originally the process commemorating Jesus' entry into Jerusalem was entirely separate from the mass, but eventually procession became the beginning of the eucharist.
Similar ceremonies occur in Eastern Orthodox churches and some are retained in Anglican churches, but for most Protestants the day is not commemorated in any special manner.
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