Fig. 1.

Evolution of individual density means.

Notes: The figures in the two panels show daily inflation density means at the one-year and three-year horizons as predicted by a local linear regression using an Epanechnikov kernel with a bandwidth of 3 days for the figure in the top panel and with a bandwidth of 10 days for the figure in the bottom panel. The shaded areas indicate the 95% confidence interval for the daily local regression estimates. In each figure the data are trimmed biweekly at the top and bottom 10% to control for the undue influence of outliers. In the top panel figure, we denote with vertical bars the five pandemic periods we consider, as well as key dates in the development of the Covid-19 pandemic: health related events are marked by long dashed vertical bars, and policy related events are marked by dotted vertical lines.