Arthur Miller called The American Clock, which premiered in 1980, a vaudeville. But it was really his view of the crash of 1929 and the Great Depression: even more than an economic crash, it was a national emotional collapse, “like all the winds had stopped, gone dead” – the moment Americans realised that those in charge had not known what they were doing for some time, or if they did, had corruptly misused that knowledge.

The play flopped, likely because Miller tinkered with it until the characters drained away, except his young self reworked as a detached narrator. The way he remembered the events of the Depression is as what we’d call an “elite debacle” – a historical mega-catastrophe caused by hubris, over self-confidence resulting from diminished contact with reality. “They believed,” the narrator says of the bubble hucksters of the 1920s, “in the most important thing of all, that nothing is real.”

In the post-crash year zero, all the systems that had taken the US its entire existence to put into place, failed. Married children came back home to live, as did elderly parents; cast-out servants “just walked away to nothing”; 100,000 people applied for (non-existent) jobs in Soviet Russia. It wasn’t Manhattan island as a refugee camp, fires flickering in shanty-towns, that seemed to presage revolution to Miller, but the purposelessness that descended – “like having to invent your life,” he wrote.

Going to college became pointless since “fellows with advanced degrees were out on the block throwing footballs around all day” and every town was “full of men sitting on the sidewalks with their backs against the storefronts” – often empty stores. The plunge into poverty, even a starved man fainting on a Brooklyn stoop, shocked less than the denial of purpose: “a whole generation withered in its prime”. That sense of existential and economic desperation carries across all his plays.

In his first success, All My Sons (1947), Joe Keller, a small-town factory owner, has covered up supplying faulty parts that caused a wartime military aircraft to crash. He could not bear that his plant, which he kept open through the Depression, should lose its government contract: “I’m in business, a man is in business: you got a process, the process don’t work, you’re out of business … You lay 40 years into a business and they knock you out in five minutes.”

Loss of money mattered to Joe, but not as much as a loss of purpose: he had had hope when the wartime economy restored full-time employment either in the military or producing its supplies, but postwar, he fears there won’t be enough jobs for all demobilised men, and that the GI Bill’s higher education provisions will intensify competition: “I got so many lieutenants, majors and colonels that I’m ashamed to ask somebody to sweep the floor. It’s a tragedy: you stand on the street today and spit, you’re gonna hit a college man.” Joe can see that his lifetime struggle, and his cover-up crime, might not ensure a secure future for his son, Chris: – “How we worked and planned for you and you end up no better than us” – while Chris mourns a camaraderie among his wartime service comrades like an idealisation of New Deal leftwing solidarity, soon gone in the post-1945 boom.

Willy Loman in Death of a Salesman (1949) is as aware that there are too many salesmen for too few territories (“the competition is maddening”), as his son Happy is of the stagnation of a work hierarchy (“All I can do now is wait for the merchandise manager to die”). Miller never refers explicitly to the Depression, even though the play’s flashback sequence must have been set in the 1930s, so the story floats in a financially mythic time. (No war or postwar, either.) Willy’s diminishing life and disappearing employment are attributed not to macroeconomic forces, but to his personal failure, age and declining energy, which anticipates the current neoliberal attitude – it’s all, always, your own fault.

He shares his wilful ignoring of reality (“A man way out in there in the blue, riding on a smile and a shoeshine”) with the 1920s hucksters, but his story is post-1929, scrabbling for pitiful chances of work so as not to lose his home and self-respect, and hung up on the memory – or dream? – of a legendary salesman who, as late as his 80s, could “go into any city, pick up the phone, and he’s making his living”. Willy’s falsity is supposed to explain the life of his disappointing younger son, Biff, who drifts cross-country from underpaid, insecure job to job, just getting by, never on, yet oddly free and able to whistle at work. However, Biff is more Miller’s sympathetic picture of the many Depression youngsters whom the war, and postwar prosperity, never reclaimed – as will happen to global austerity’s young unemployed today.

Even The Crucible (1953), seemingly Miller’s least economics-based work, is founded in the inequalities of early Massachusetts, which had set out to compress potential worldly success within a narrow stratum, subservient to religion. As if that ever works. John Proctor’s first defiant act in the play has nothing to do with lust or witchcraft – he won’t attend church because its Harvard-educated preacher wants extra perks besides his salary, demands to own the parsonage outright (he “spoke so long on the deeds and mortgages I thought it were an auction”) and nags the congregation to buy him a rich church plate. “For 20 week he preach nothin’ but golden candlesticks until he had them,” says Proctor. “I labour the earth from dawn of day to blink of night … When I look to heaven, and see my money glaring at his elbows, it hurt my prayer.”

As Miller found through local history research, many of the Salem households of those accused of witchcraft, and of their accusers and examiners, were in lawsuits over land and its boundaries, the basis of colonial prosperity and employment. The chief accuser and manipulator, Thomas Putnam (whose wealthy father had passed him over for inheritance in favour of a half-brother), claimed witchcraft against many with whom he had financial disputes, including a virtuous old couple whose slow accrual of farm and homestead he envied. Miller has another accused (a farmer who dies under torture rather than let Putnam acquire his farm cheap) say “Putnam is killing his neigbours for their land”.

A View from the Bridge (1955) is Miller’s most economically modern play. By then, the US had reached 95% full employment levels with consequent improved wages; its teen character, Catherine, leaves school early to take a $50 a week secretarial job. (Miller never quite regards women as having a place in workforce other than as than whores, servants and the posh socialist who writes Superman comics in The American Clock; he feels their identity doesn’t depend on paid work and their emotional labour should come for free.)

Her uncle, Italian-American longshoreman Eddie Carbone, whose parents would have got into the US before the open door immigration policy slammed tight shut in 1924, claims he did anything for employment in the Depression (“In the worst times, the worst, I didn’t stand around look’ for relief, I hustled”), and his acceptance of his modest Red Hook lifestyle is also shaped by his knowledge of the hungry Mediterranean poverty in which his close kin still live.

Eddie knows enough about hard times to take in his wife’s cousins, Marco and Rudolpho, illegal immigrants who will get daily work from the dock bosses until they pay back the people-smugglers the high cost of their passage: Eddie can understand the classic economic migrant Marco, who wants to remit money back to his wife and sick children for a few years, and save to return with a stake in the future, but not to abandon his own culture. Marco says in a voice we hear globally now: “Only work we don’t have. I want to be an American so I can work. That is the only wonder here – work!” When Eddie betrays Marco to the immigration officials, Marco cries out: “He killed my children. That one stole the food from my children.”

Catherine, who has only known US wartime and postwar full employment, is baffled by the brothers’ descriptions of worklessness back home: “Ocean full of fish and yiz are all starvin’?” They tell her fishing takes money for boats and nets; nothing, not even oranges growing on trees, comes free: no work, no money, no food or medicine. Rudolpho naively, but not wrongly, believes that if he could buy a motorbike, he would gain respect that might lead to work. Any kind of work. The brothers had pushed a taxi up a hill to make a few lire, lived two months on a night’s tips for Rudolpho singing opera to tourists. Mostly, “we stand around all day in the piazza”. Miller knew the neorealist movies by Vittorio De Sica and Roberto Rossellini which showed just that. But even more, he was haunted by the Depressed, sat against those empty storefronts.

• A View from the Bridge is at Wyndham’s Theatre until 11 April. Death of a Salesman is at the RSC in Stratford Upon Avon from 26 March.