I have an old peavey classic that I just got retubed and biased and eveything, but i was wondering, what does the fuse do? how do you know when it is going bad, and how much is it to replace one?
they blow when a current higher than the rating passes through them to prevent damage to the rest of the amp.

you know they have gone bad when your amp doesnt work anymore. simple fix...you can get one for a few cents. Changing them is easy if you know what you are doing, but if not get a tech to do it (especially if you are having to change a fuse buried under huge caps )
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