Negative thoughts as cause or consequence of depression Simplypsychology.org page on Cognitive Behavioral Therapy mentions that

Lewinsohn (1981) studied a group of participants before any of them became depressed, and found that those who later became depressed were no more likely to have negative thoughts than those who did not develop depression. This suggests that hopeless and negative thinking may be the result of depression, rather than the cause of it.  [...]

Lewinsohn, P. M., Steinmetz, J. L., Larson, D. W., &amp; Franklin, J. (1981). Depression-related cognitions: antecedent or consequence?. Journal of abnormal psychology, 90(3), 213.


Has there been more research into the cause/effect relationship of negative thoughts and depression since then? If so, is there some kind of consensus on this cause-effect relationship? Or has the inquiry been judged not terribly interesting or (non-)productive?
Short answer
The cause of depression is thought to be one of neurochemistry, resulting in depressive thoughts.  

Background
I think the general consensus is that depression is a psychological disorder with neurochemical causes. In particular, the serotonin hypothesis of depression has received much attention, basically due to the success of the serotonin-specific reuptake inhibitors (SSRIs) that increase overall serotonin levels in the brain. The serotonin hypothesis basically states that depression is the result of a lack of serotonin and its metabolites in the brain (e.g., Nemeroff (1994)). However, the story is of course more complicated that that. For example, other monoamine systems in the nervous system may also be affected. 

The general idea is that the consequences of that monoamine imbalance in the brain include depressive thoughts, among other (more physical) effects, such as a loss of weight. The DSM-V criteria for depression include: 


  
  Depressed mood most of the day.
  Diminished interest or pleasure in all or most activities.
  Feelings of worthlessness or excessive guilt.
  Recurrent thoughts of death (APA, 2000, p. 356).
  


Reference
- Nemeroff, Clin Chemistry (1994); 40(2): 288-95