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In his excellent book He Who Gives Life: The Doctrine of the Holy Spirit Graham Cole explains that in theology a mystery is not a puzzle, a riddle, or a problem. Nor is Cole using it in the sense of “open secret” (as Paul uses musterion).

Rather, Cole writes:

Mystery as I am using the term is an epistemological claim about an ontological reality. It is an expression of epistemic humility rather than epistemic arrogance. God has spoken. God has made his name known—that is, his very nature, truly if not exhaustively. But the more one considers the revelation of God, the more there is to know and the more one knows how little one knows, and yet what is increasingly known throws light on other realities (nature, history, and humankind). (p. 43)

Cole goes on to quote E.L. Mascall, who identifies three features which belong to a mystery:

In the first place, on  being confronted with a mystery we are conscious that the small central area of which we have a relatively clear vision shades off int a vast background which is obscure and as yet unpenetrated.

Secondly, we find, as we attempt to penetrate this background . . . that the range and clarity of our vision progressively increase but at the same time the background which is obscure and unpenetrated is seen to be far greater than we had recognised before. . . . .

The third feature of a mystery . . . is the fact that a mystery, while it remains obscure in itself, has a remarkable capacity of illuminating other things.

(Words and Images: A Study in Theological Discourse [New York: Longman, Green, 1957], 79)

One more word on mystery. Sometimes folks quickly punt to the concept as a way of avoiding deep and thoughtful meditation on the deep things of God. To this John Piper once penned a helpful response:

There is not one sentence that I know of in the New Testament which tells us the limits of what we can know of God and his ways.

I might just say in response to much silly talk about the dangers of exhausting the mysteries of God, that my conception of God makes such a thought ludicrous. If we may compare God’s wisdom to a ragged mountain and our growing understanding of it to a slow assent, I do not have the slightest fear that during some midnight meditation I may (by the grace of God) attain some new ridge and all of a sudden find I am on the peak of the mountain with no more cliffs to climb. On the contrary, for every newly attained height of insight there stretches out an ever more glorious panorama of manifold wisdom. And one can only pity the poor souls who, for fear of finding out too much, never approach the sacred mountains but stand off and chirp ironically about how one should preserve and appreciate mystery.

The more we know and the more we see, the more we’ll sing with the Apostle Paul:

Oh, the depth of the riches and wisdom and knowledge of God!
How unsearchable are his judgments and how inscrutable his ways!

Romans 11:36

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