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An American radio station, W1OXJ was the first to broadcast in frequency modulation in 1937.

I can only get the first documented evidence from the United States, so systemic bias creeps in, as there would be events in other countries, too.
 
Bear in mind that E.H. Armstrong was a prolific designer, and is understood to have laid the foundation for frequency modulation principles to try to eliminate static caused by lighting used at the time. The incandescent bulb could even generate hash on the radio spectrum if the filament was kinked or somehow perforated.

There were also arc lamps used in factories, and if you had an AM receiver you were SOL as far as getting a clean signal unless the factory near you shut things down at night.

Then there's co-channel...

There were only a few FM broadcasts done in the mid-to-late '30s. And few but the very wealthy likely owned a set equipped to receive the transmissions,

We were in one of the worst economic pits in our country's history.

Then we went to war.

It wasn't really until after WWII that FM reception became a household item.

Then there were two FM bands--the FM-45 band, which was supplanted by the FM-100 band with which we are more familiar.

I have an old Zenith set that can pull that lower band, but there's not a lot there these days--except for the odd police call. It is obsoleted. Such will be--with the transition of television reception to exclusively digital--to exclude the so called VHF ch-2 through ch-6 and ch-7 through ch-13 bands. Our FTA TV will be restricted thus to the Ch-14 through Ch-69 band. With digital format there will be plenty of room for programming.

I am a bit concerned about the tendency for the UHF band to have multipath interference issues--which is the kiss-of-death to digital reception. AMHIK.

It is rumored that the basis for FM stereo broadcast can be traced back to Armstrong--although he decided he wanted to rest long before the general broadcast had ever happened. Such uses "mid-side" signal transmission, meaning that such was--and is--compatible with either mono or stereo FM apparata.
 
The book "Empire of the Air" (and PBS documentary of the same name) covers Armstrong's inventions and his patent stuggles - his inventions include the regenerative circuit, the superheterodyne (likely independently invented by others as well), the superregenerative circuit, the FM detector (discriminator), and FM subcarriers and multiplex transmission. The first FM broadcast transmitter was his design. He also demonstrated Multiplex transmission in the late '30s - it took until the early '60s to decide a broadcast standard for stereo and put it on the air.
 
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