Traumatic events are events in which individuals perceive the physical and/or emotional safety of themselves or loved ones to be threatened. Traumatic events can be single-events such as a serious car accident or being robbed at gunpoint. They may also be longer lasting events that unfold over weeks, months or years; for example being present in a war zone or living with an abusive parent or spouse.  Depression is commonly triggered by life stressors  and experiencing traumatic events is, by definition, a major stressor. However, trauma is often considered separately from other life stressors in depression research because there is a particularly high likelihood that someone who has experienced trauma may eventually experience depression.  There is also evidence to show that a history of trauma may influence how helpful (or unhelpful) particular treatments may be. Experiencing trauma may also bring about Post-Traumatic Stress Disorder, a condition that is separate from depression but closely related to it.
 
What is the Association Between Trauma and Depression?
Researchers have shown a particularly strong link between childhood trauma and risk for developing depression. The increased risk for depression lasts all the way into adulthood, well after a person may have escaped the traumatic circumstances. For example, adults who report that they were exposed to physical, sexual, or emotional abuse or neglect as children are more than two times as likely to develop depression than those without childhood trauma exposure {Chapman, 2004 #4}. In addition, trauma during childhood appears to be associated with a more chronic course of depression {Negele, 2015 #5}. One theory to account for these associations is that exposure to trauma during childhood impacts the developing brain in important ways  that make a person more vulnerable to depression in the future. People with depression and a history of trauma may benefit from specialized treatments. For example, there is evidence that people with a history of childhood exposure to trauma are more likely to benefit from psychotherapy than medication as a treatment for depression {Nemeroff, 2003 #7}. 
 
How Is Depression Different Than Post-Traumatic Stress Disorder (PTSD)?
Post-Traumatic Stress Disorder (PTSD) is a diagnosis and a grouping of symptoms that can occur in response to trauma. The four groups or clusters of symptoms in PTSD are unwanted thoughts or memories about the trauma, avoidance of situations or things that remind one of the trauma, changes in thoughts and moods (like feeling numb), and changes in physiological arousal.  Depression and PTSD look similar in some ways. For example, in both cases a person may withdraw socially, have a loss of interest in activities, have difficulty sleeping and feel emotionally numb. However, in contrast to PTSD, depression does not require the occurrence of a traumatic stressor to be diagnosed. In addition, PTSD often includes a strong sense of being on the lookout for danger and sometimes a person may re-live the trauma in the form of nightmares or vivid recurring memories. These symptoms are not characteristic of depression. Although PTSD and depression are distinct syndromes, many people who have symptoms of PTSD will also experience symptoms of depression.  In a large study, depression was 3 to 5 times more likely in those with PTSD than those without PTSD {Kessler, 1995 #6}.
 
Sources

Chapman, D. P., Whitfield, C. L., Felitti, V. J., Dube, S. R., Edwards, V. J., & Anda, R. F. (2004). Adverse childhood experiences and the risk of depressive disorders in adulthood. J Affect Disord, 82(2), 217-225. doi:10.1016/j.jad.2003.12.013
Kessler, R. C., Sonnega, A., Bromet, E., Hughes, M., & Nelson, C. B. (1995). Posttraumatic stress disorder in the National Comorbidity Survey. Arch Gen Psychiatry, 52(12), 1048-1060. 
Negele, A., Kaufhold, J., Kallenbach, L., & Leuzinger-Bohleber, M. (2015). Childhood Trauma and Its Relation to Chronic Depression in Adulthood. Depress Res Treat, 2015, 650804. doi:10.1155/2015/650804
Nemeroff, C. B., Heim, C. M., Thase, M. E., Klein, D. N., Rush, A. J., Schatzberg, A. F., . . . Keller, M. B. (2003). Differential responses to psychotherapy versus pharmacotherapy in patients with chronic forms of major depression and childhood trauma. Proc Natl Acad Sci U S A, 100(24), 14293-14296. doi:10.1073/pnas.2336126100

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