Was the deflation of the Depression anticipated? an inference using real-time data

Futures prices were well above spot prices for most commodities during most of the Great Depression in the US; evidently, the spectacular declines in agricultural prices caught many people by surprise. Based on the historical correlations between commodity prices and consumer prices, commodity markets anticipated stable consumer prices during the first year of the Great Depression. The dramatic drop in nominal Treasury bill yields thus should be read as a drop in ex ante real interest rates. In the 2nd and 3rd years of the Great Depression, people anticipated drops in consumer prices about half as severe as were actually experienced. This perception would certainly discourage new borrowing and investing. On the other hand, this would also be an environment in which bankruptcy risk would continually worsen, particularly on outstanding loans of more than one year's duration. Both factors are likely to have contributed to the severity of the Great Depression.