In the first chapter of Harper Lee's To Kill a Mockingbird, Scout the narrator makes the above comment in a paragraph in which she describes Maycomb during the Great Depression. She notes that the days seemed longer because time moved slower:
There was no hurry, for there was nowhere to go, nothing to buy and no money to buy it with, nothing to see outside the boundaries of Maycomb County.
She next uses her comment that "Maycomb County had recently been told that it had nothing to fear but fear itself" as a reference to President Franklin D. Roosevelt's first inaugural address in 1933, four years after the start of the Great Depression.
In his speech, President Roosevelt asserted his "firm belief that the only thing we have to fear is fear itself--nameless, unreasoning, unjustified terror which paralyzes needed efforts to convert retreat into advance" (George Mason University, History Matters). In other words, according to the wise words of President Roosevelt, the feeling of fear itself is to be avoided because fear paralyzes its victims, rendering them incapable of taking necessary actions to make changes.
Not only does Scout's reference to the most famous line in President Roosevelt's first inaugural address help set the novel as taking place during the Great Depression, it helps set the tone of the novel and foreshadows upcoming events.
Though author Harper Lee deals with the weighty issue of social injustices caused by racial prejudices, she does so in a generally optimistic tone just as President Roosevelt's speech is optimistic. In addition, Tom Robinson was convicted based only on the "nameless, unreasoning, unjustified" fear that leads to racial prejudices. Therefore, Scout's reference to President Roosevelt's speech foreshadows Maycomb's paralysis due to fear. However, as Miss Maudie points out after the trial, the very fact that Atticus's courtroom performance kept the jury out for so long is proof that Maycomb's citizens are taking a small step towards creating a more just society, or in her words, "[I]t's a baby-step, but it's a step" (Ch. 23). Hence, Scout's reference to President Roosevelt's speech also foreshadows that Maycomb will take a small step towards overcoming their paralysis due to fear.
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