My father was two years older than Woody Allen. Both were members of what has been called the silent generation. That can be deceptive.
When Studs Terkel's oral history of the Great Depression was published in 1970, my father read it and reread it. He discussed it with all his friends and with his children. One of the themes of that book was that the younger generation, characterized in the book as "Sergeant Pepper's Lonely Hearts Club Band," didn't understand the Depression and, because they didn't understand it, they didn't understand politics. This was a lesson my father felt his children needed to learn and the adults of his time needed to relearn.
Like Terkel, my father was a "liberal". I put that in scare quotes because it wasn't entirely clear what the word meant. When convenient, he was a socialist. When socialism was too scary, he was a "liberal". And a big part of the justification for this "liberalism" was the Depression.
Here's the thing, though, in his later years I asked my father what it was like to grow up during the Depression and he said he didn't really know. He suggested I ask his older sister. I did, she said she didn't really know either. She had memories of the war but what she really remembered best was the post war.
And here is where doing the chronology becomes important. My father was six years old the year the Second World War started. Woody Allen was four! Real awareness of the larger world starts with adolescence—about 13 for girls and about three years after that for boys. For my father and Woody Allen, lived history begins in the 1950s. The Depression they knew was not the experience but the mythology that was passed on to them much as the 1950s and 1960s I knew growing up was also mythology (my lived history began in 1976). And that is why Studs Terkel's oral history appealed so much to my father—an oral history is mythology. Likewise, Frederick Lewis Allen's "history" of the 1920s, Only Yesterday, was the source of the mythology of that era. Like Terkel's book, Allen's book was written to justify FDR.
A lot of what Woody Allen does is driven by nostalgia, not for the 1920s and 1930s but for the mythology of that era. The ostensibly 1920s and 1930s music he plays is rooted in the post-war trad jazz revival. Likewise, the movies he makes of the 1920s and 1930s, is rooted in later re-tellings of that era. (In the famous Why-is-life-worth-living soliloquy in Manhattan, two items are from this era: Groucho Marx and Louis Armstrong's recording of "Potato Head Blues". Four are from Woody's teens and early twenties period in the 1950s, Swedish Movies, Willie Mays, Marlon Brando and Frank Sinatra. What remains is just pretentious, the cultural equivalent of conspicuous consumption: crabs at Sam Wo's, the Jupiter Symphony, Sentimental Education and Cézanne.)
How many of films of the 1920s and 1930s are there? Going on memory, there is The Purple Rose of Cairo, Radio Days, Bullets Over Broadway, Sweet and Lowdown, Midnight in Paris (sort of), and Magic in the Moonlight. That's a few.
To give him credit, they are all movies about the mythology and don't pretend to give you an accurate historical record of the era.