Was Shakespeare Protestant, Catholic, or something else?

In "The Case for Catholic Shakespeare," Kenneth Colston argued in 2016 that Shakespeare was Catholic. Colston's position is similar to that of Joseph Pearce (cited in Colston's biographical bibliography).

Colston mentions that the ghost in Hamlet seems to come from purgatory, but that proves little: in fact the ghost seems superficial in his embrace of Catholic and Christian ideas, seeking revenge through his son. The ghost sounds a bit like Lorenzo de' Medici, seeking revenge for the death of his brother. Maybe some things are better left to die with the old king?

[Lorenzo de Medici, image public domain via Wikipedia.]

There is a tendency to pigeonhole Shakespeare as either one thing or another in his religious allegiances. Perhaps people belonging to a group wish to claim him as part of their group: Atheist, Catholic, Protestant, Puritan, or a professing member of the Church of Theater Enthusiasts?

- Some have proposed that as a dramatist with diverse audiences, he was widely tolerant and inclusive, except toward the intolerant, sometimes portrayed as Puritan. (See Jeffrey Knapp, Shakespeare's Tribe.)

- Richard Wilson (in Secret Shakespeare and elsewhere) has proposed that he was originally Catholic, but disaffected by Jesuit and other Catholic scheming against Elizabeth, and perhaps agnostic.

- As Colston and others have noted, he liked Franciscans, as "Friars" are often portrayed favorably in his plays as being at least well-meaning, unlike portrayals by his contemporaries of all monks as corrupt.

- He likes auricular confession (it plays well), not always to a priest, but at least the idea of people confessing wrongs to those they harmed, such as Hamlet to Laertes before the duel, and Laertes to Hamlet, exposing Claudius. For more on the Protestant loss of auricular confession, see Sarah Beckwith, Shakespeare and the Grammar of Forgiveness

But this is not enough to claim he was secretly Catholic: Many Catholics were pro-reform before the Protestant Reformation. It was possible to be Protestant but to like certain Catholic traditions, and vice-versa.

Shakespeare may hint at apparent agreement with Protestant ideas. In Twelfth Night, the fool Feste quizzes Olivia about mourning too long: If you think your brother and father are in heaven, why mourn? No mention of purgatory.(Olivia has parallels with Elizabeth I).

Kenneth Gross's book, Shylock is Shakespeare, argues that the voice of the Jewish moneylender who wants his pound of flesh might be the voice of the playwright (even if not secretly Jewish). His father was accused of usury; Shakespeare left a trail of litigation, sometimes over seemingly trivial matters. If secretly Catholic, he had two daughters who married men who were not Catholics, analogous to Shylock losing his daughter to a Christian.

If you had to explore the mystery of Shakespeare's apparent religious allegiances without too carelessly plucking the heart of the mystery, how would you make your case?

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Disclaimer: If and when I quote or paraphrase bible passages in many of my blog posts, I do not intend to promote any religion over another, nor am I attempting to promote religious belief in general; only to point out how the Bible may have influenced Shakespeare, his plays, and his age.
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