In Macbeth, is the appearance of the dagger in Act 2 scene 1 a supernatural phenomenon like the witches, or is it a product of imagination?

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Good question, revealing a basic difference. This is Macbeth’s delusion, “A dagger of the mind, a false creation,/Proceeding from the heat-oppressed brain”; that is, the “heat-oppressed brain” (fevered brain) plus the night’s drinking, have given Macbeth a bloody pre-impression of the deed he has promised Lady Macbeth to commit this night, driven by the equivocation of the witches, to be sure, but a psychological aberration—emblematic of one of Shakespeare’s contributions to theatre, the character driven by his “psychology”, his mental constructs. All the ambitious impulses were put there not only by the witches, but by his inner desire for rank, prompted by his recent promotion.  The scene foreshadows the all-too-real dagger he uses to kill Duncan, the dagger he fails to leave at the guards’ side to implicate them.

Banquo’s appearance at the banquet table is another example of psychological forces (this time guilt) at work on Macbeth’s imagination. Both these illusory incidents occur at Dunsinane, a “civilized” place, but the witches operate in Nature (“an open place”, the stage directions tell us) with accompanying lightning and thunder. Therefore they are separate from the supernatural construct that is the presence of the witches.