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The causes of the Great Depression are a matter of active debate among economists, and are part of the larger debate about economic crises, although the popular belief is that the Great Depression was caused by the crash of the stock market.
The immediate cause of the Great Depression of the 1930's was the catastrophic collapse of investment purchases. There were prior causes, such as the real interest rate stemming from restrictive monetary policy, but it is in investment purchases that these factors have their effect.