Although the play's story is set in the late middle ages (before the Protestant Reformation), critics tend to agree that Hamlet is a quintessential "Protestant son." Not only does he live in Denmark, a Protestant nation by the time Shakespeare wrote the play, but he also attends school in Wittenberg, Germany. This, as we know, is where Martin Luther wrote his Ninety-five Theses in 1517 (considered to be the catalyst for the Protestant Reformation). Why does this matter? Well, the play can't seem to make up its mind about whether or not the play is set in a Catholic or Protestant world, which seems to register the kind of religious and spiritual anxiety and confusion that was brought on by the Protestant Reformation and England's official break with the Catholic Church under Henry VIII (1534).
The Ghost not only claims to be Hamlet's "father's spirit," it also suggests that it's a Purgatorial ghost. (Purgatory was often imagined a fiery place where souls "purged away" their sins before going to heaven. Purgatorial spirits returned to ask loved ones for prayers that could help them to reach heaven faster.)
The problem with this is that Protestants don't believe in Purgatory. At the time Shakespeare wrote the play, England was a Protestant nation that persecuted practicing Catholics. So, it's a big deal that the Ghost seems to be a Catholic.
In terms of plot, this partially explains why Hamlet is so skeptical of the Ghost's claims (that it's the spirit of his father and also that it was murdered by Claudius). This has some major consequences for the way the action of the play unfolds – Hamlet spends much of his time trying to figure out if the Ghost is trustworthy and whether or not Claudius is guilty of murder, which is one of many things that delays Hamlet's revenge.
The fact that the Ghost appears to be Catholic (while Hamlet appears to be a Protestant) isn't the only thing that makes the spirit a suspicious figure in this play (see discussion above). We should also keep in mind that Purgatorial spirits weren't in the habit of asking living relatives to murder other people (murder being a major sin for both Protestants and Catholics) to help them get to heaven. At the same time, Hamlet belongs to the generic category of "Revenge Tragedy," which doesn't exactly square with the kind of Christian ideologies that are registered in the play. All of which is to say that Shakespeare is working within and weaving together multiple literary and cultural traditions.
Literary critic Stephen Greenblatt argues that the Ghost in Hamlet is significant for much more than its impact on the plot. For Greenblatt, the Ghost registers the complexities of the 16th century debate about Purgatory without coming down on one side or the other. Perhaps more than anything else, praying for Purgatorial spirits, argues Greenblatt, was a important way for the living to remember and express grief for lost love ones. According to Greenblatt, when the Anglican Church officially rejected the doctrine of Purgatory in 1563, it eliminated an important social and psychological function for the living. The Ghost in Hamlet, then, represents the bereavement process. (Hamlet, unlike the rest of the Danish court is still working through his grief for his dead father when the Ghost appears.) Greenblatt also argues that the Ghost registers general anxieties (among the living) of being forgotten after death – hence, the Ghosts demand that Hamlet "remember" his father.
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