The short answer is that the people of the Brave New World do not see art. No art is created in the present, and the World Controllers have done everything they can to erase the past. They have closed all the museums, blown up the historical monuments, and banned "all books published before A.F. 150."
Unusually for the Brave New World, there appears to be no difference between the castes in this respect. The Alphas are just as ignorant of high art as the Deltas and Epsilons. There may be some exceptions at the very top of the hierarchy: Mustapha Mond appears to be familiar with art and literature, as he is with science, but this can be chalked up to the fact that the censor himself has to have some idea of what he is censoring in order to work efficiently.
Mond points out that the different castes are necessary to social order. A society composed entirely of Alphas would be a disaster, because
An Alpha-decanted, Alpha-conditioned man would go mad if he had to do Epsilon Semi-Moron work—go mad, or start smashing things up.
However, he does not make the connection with art that Huxley, a paragon of polymath sophistication, certainly did. A highly educated person cannot happily do mind-numbingly tedious work. For the same reason, they cannot endlessly consume shallow ersatz entertainment. The semi-pornographic feelies may satisfy the Epsilons, but is is evident from the text that they cannot and do not satisfy the minds and hearts of men like Bernard and Helmholtz. Where art is not seen, it is felt as an absence by those whose lives are shallow and unsatisfying without it.
The vast majority of people in the World State are satisfied with shallow, pornographic art that gives them fleeting pleasure and doesn't cause them to think. It simply reflects back to them the world they know.
The classics of the past are banned. When John the Savage questions Mond about art, and why nobody is allowed to read Shakespeare anymore, Mond says:
Because it’s old; that’s the chief reason. We haven’t any use for old things here.
Mond goes on to explain that the World State has been engineered to make what is called "high art" obsolete. After the Nine Years' War, people craved stability and happiness above all else. They have a stable world, and that kind of world makes real art incomprehensible. Mond says:
you can’t make tragedies without social instability. The world’s stable now. People are happy; they get what they want, and they never want what they can’t get.
According to Mond, sacrificing high art, such as Shakespeare, was a necessary and beneficial trade off. If people are stimulated to think, they will be unhappy, and that will cause social instability. Social instability has to be avoided at all costs.
The society of Brave New World does not value art at all. Their prime mode of entertainment are the "feelies" (probably a play on the 1920s/1930s term "talkie," which described sound films which obviously introduced a new sensory element to the previously silent cinema), films which incorporate touch and smell. These films are less interested in compelling stories and characters than they are in indulging the baser fantasies of their audience. They are usually pornographic in nature.
John the Savage is told outright by Mustapha Mond that art has no place in the modern world because true art is not focused solely on pleasure. Tragic plays make people sad and in the future, any unpleasant feelings are considered dangerous and bad rather than cathartic and ennobling.
The citizens of Aldous Huxley's Brave New World have been conditioned to only enjoy low, vulgar art which promotes the self-indulging values of this society.
Children are given electric shocks when they touch books in order to condition them to hate literature. They are provided with synthetic, absurd pop-songs for music. The films they watch are called feelies, which are movies that the viewer is able to experience with all the senses. The storylines of these films are terribly simple, but the crude, sensuous plot is another way that the people experience pleasure and physical satisfaction. This art is not meant to stimulate any sort of intellectual or emotional depth, only to satisfy the desires of the moment and endorse the values the citizens have been conditioned to believe in.
Poetry and rhyme are exclusively used for propaganda. This is one of the reasons why Helmholtz is banished from the community. He wants to create poetry to express his innermost feelings, which is a dangerous thing. He tells Bernard,
I feel as though I were just beginning to have something to write about. As though I was beginning to be able to use that power I feel I've got inside me—that extra, latent power.
After John, Helmholtz, and Bernard have been arrested, Mustapha Mond explains why popular art in this society is so crude and vulgar:
that's the price we have to pay for stability. You've got to choose between happiness and what people used to call high art. We've sacrificed the high art. We have the feelies and the scent organ instead.
In order to appreciate high art like Shakespeare, people must be able to experience instability, loss, grief, pain, and love. The people of this society are satisfied and comfortable without these deep thoughts and emotions. Because of this, only low, self-indulgent art is accepted in Brave New World.
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