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[Note that this description is derived mostly from the Zohar, a 12th century work that evolved from the mystical writings of R' Shim'on bar Yochai (2nd century). The Zohar is the central writing of Kabbalah.]
In general, and in contrast to some other religions, in day-to-day life Jews don't pay much attention to questions like this. The focus of Jewish life is living according to G-d's will as expressed in the Torah. What happens afterwards is up to G-d.
That said, traditional Judaism does address this question. To put it shortly, our beliefs in resurection and afterlife vary widely. Some believe it is part of the Messianic era. Some consider it an era of its own, after the messianic one. It's a matter of debate in Jewish tradition as to whether the post resurection life is permanent, or temporary. Nachamides believes that the ultimate reward, the "World to Come" is that post-resurrection life, and therefore it must be eternal. Maimonides opines that the ultimate reward is the relatively direct experience of G-d that a soul can have when not encumbered with a body and its desires. Therefore he understands the phrase "World to Come" to refer to the non-physical existance after life, and that's man ultimate reward. He returns to that reward after a second, resurrected life. This is because Maimonides believes it's because man can only face his judgement in the same condition as when he sinned. Since he sinned while in a body, he is returned to that body to be judged. R' Yosef Albo agrees with Maimonides that the post resurrection life isn't permanent. To be specific, he believes that the lifespan will be 1,000 years -- the length of time Adam would have lived after eating from the forbidden fruit (had he not given away 70 years for someone else). His reason for this second life, though, is very different. Albo writes in the Ikkarim (Fundamentals) that in this life, man masters the art of self-perfection in the face of adversity -- disease, threat of poverty, and everything else that could go wrong in life. In the next life, the only challenges are internal, there will be no external impediments. It's therefore a second step in personal development, allowing for more refinement in one's ability to enjoy the World to Come upon return. In the early 20th century, Rabbi Abraham Isaac Kook (cheif Rabbi of British Mandate Palestine) wrote that the resurection occurs by the end of the illusion that separates this universe from heaven.
Now, for the more mystical explanation. Keep in mind that there are dissenting viewpoints, though this is the dominant one.
A living person consists of both body and soul. Both are complex in structure and this short answer can't possibly address the details. To summarize briefly, when the body dies, if the person merits it, a small portion of the soul remains with it to keep it connected with the soul's source, anticipating the general revival of the dead at the time that G-d decrees. Different parts of the remainder of the soul may go to different places. One might be reincarnated into a new body in an attempt to rectify another of its spiritual aspects, or for other purposes. One part might go to a level of Paradise. Another might go to Gehinnom for a period, to remove the sins of that life and prepare it for a future one. Another part might join temporarily with an already living person, to assist it with its rectification and in the process gather more merit. The reassignments of the soul continues until the time that G-d decrees.
Rabbinic afterlife teachings varied in different places and times, and was never synthesized into one coherent philosophy. As such, the different descriptions of the afterlife are not always consistent with each other. This is especially true for the descriptions of "Olam Haba", the world to come. In some rabbinic works this phrase refers to the messianic era, a physical realm right here on Earth. However, in other works this phrase means Gan Edan, Paradise (in Heaven, so to speak), a purely spiritual realm. At various points in the afterlife journey, the soul is said to encounter:
Hibbut ha-kever, the pains of the grave
Dumah, the angel of silence
The angel of death
The Kaf ha-Kela, the catapult of the soul
Gehenna (purgatory) and Gan Eden (Heaven; Paradise)
A discussion of the classic rabbinic view of the afterlife, including these topics and more, can be found in an essay by Rabbi Zalman Schacter Shalomi called "Life in the hereafter: A tour of what's to come", found at http://www.havurahshirhadash.org/rebzalmanarticle14.html.
Gehenna is fairly well defined in rabbinic literature. It is sometimes translated as "hell", but Jews must take note that the Christian version of hell is different from the Jewish view of Gehenna. Some Christians believe that hell is an abode of eternal torment where sinners go, and is also for anyone who does not accept Jesus as their messiah and G-d. Other Christians believe Hell is a place of separation from G-d (which, for Christians, is torture enough), from which believers are eventually saved by Jesus. Roman Catholics believe that Hell is a place of eternal sufferingphysical, mental and spiritual suffering. In the Roman Catholic view of Hell, the physical pain is constant and severe; but the worst torture of Hell is the knowledge that they will never see G-d and that they will remain in Hell for eternity. For Roman Catholics, Hell is permanent and eternal. For Roman Catholics, the soul that has deliberately and knowingly disobeyed G-d's commandments in life and that remains in a state of mortal sin upon death has through it's own free will damned itself to Hell for all eternity. Roman Catholics also have the notion of Purgatory, which is for souls that are truly repentant, but not in the state of grace upon death. Purgatory is similar to Hell in that there is physical suffering, the Roman Catholic belief is that the soul will return to G-d when it is purged of its sins. Purgatory can last a day or thousands of years depending on the amount of purging the individual soul requires.
However, for Jews, gehennawhile certainly a terribly unpleasant placeis not hell. The majority of rabbinic thought maintains that people are not tortured in hell forever; the longest that one can be there is said to be 12 months. It is a spiritual forge where the soul is purified for its eventual ascent to Gan Eden [Heaven], and where all imperfections are purged. [In this sense, it is somewhat similar to the Roman Catholic purgatory, however the time period has a definate maximum]. Gehennom (lit: the valley of Hinnom, in Jerusalem; i.e. hell) is the sinner's experience in the afterlife. In other words, it's the same "place" as gan eiden (lit: the garden of Eden; i.e. heaven) it's the perspective of the individual that makes it one or the other.
In some descriptions of the afterlife, we find that beyond Gan Eden there is a little known realm called the otzar, the divine treasury of souls; this is also called the tzror ha-hayyim, the bundle of life. This otzar is a transcendent realm of human souls, in the highest spheres of creation. Before souls are born they are said to come from this treasury, and they return they at some point after death.
Souls are said to originate in a realm called the 'guf' (Avodah Zarah 5a, Nedarim 13b, Yevamot 62a), from which they descend to the earthly real to animate human bodies. After death, these souls return to the otzar, or tzror ha-hayyim. (Shabbat 152a; Pesikta Rabbati 2:3)
According to the Kabbalah [Jewish mysticism] every human has at least one element in their soul; with the proper study a person can eventually develop two higher levels of the soul. A common way of explaining the three parts of the soul is as follows:
Nefesh - the lower part, or animal part, of the soul. Is linked to instincts and bodily cravings.
Ruach - the middle soul, the spirit. It contains the moral virtues and the ability to distinguish between good and evil.
Neshamah - the higher soul, or super-soul. This separates man from all other lifeforms. It is related to the intellect, and allows man to enjoy and benefit from the afterlife. This part of the soul is provided both to Jew and non-Jew alike at birth. It allows one to have some awareness of the existence and presence of G-d.
The "Raaya Meheimna," a later addition to the Zohar, posits that there are in fact two more parts of the human soul, the chayyah and yehidah. These parts were considered to represent the sublimest levels of intuitive cognition, and were only within the grasp of very few individuals.
Chayyah - The part of the soul that allows one to have an awareness of the divine life force itself.
Yehidad - the highest plane of the soul, in which one can achieve as full a union with G-d as is possible.
According to the Zohar, after death each aspect of the soul undergoes a different experience on the afterlife journey. The lower levels of the soul are purified and purged of physical and emotional attachments, while the higher levels experience transcendental bliss. The nefesh temporarily remains with the body in the grave, undergoing the Hibbut Ha-Kever, the suffering of the grave. Simultaneously, the Ruach experiences Gehenna for 12 months. "Gehenna is conceived of as a purification process in which the psychic remnants from the previous life are purged and transformed. This purgation process lasts only twelve months and is tormentingly painful in direct proportion to each individual's lived life experience. [Simcha Paull-Rapahel ] After leaving Gehenna, the ruah then permanently enters the Lower Gan Eden.
After death the Neshama, since it not subject to being tainted by sin, goes to Gan Eden Elyon, the Upper Gan Eden, where it experiences divine reward and bliss. The hayyah and yehidah also return to Upper Gan Eden immediately after death, and become as one with G-d as is possible. "Those who have awakened these dimensions of their being are able to perceive the infinite grandeur of the divine realms, to enter the everflowing celestial stream - described by the Zoha as the "bundle of life". [Paull-Rapahel]
Given all this, what happens to the soul of the nonbeliever? The most common belief in contemporary traditional Jewish communities is that all souls go to the after-life. Nearly all, barring a handful or two in all of human history, eventually end up in Gan Eden (roughly: heaven), even non-believers. Maimonides (a medieval Jewish thinker) opined that non-believers cease to exist upon death. His reasoning was that the ability to exist eternally is G-d's, and is only acquired by the soul to the extent that the soul knows of, and therefore shares some of the form of, G-d. This opinion was more popular in the medieval period, but no longer captures much attention, since around the early 19th century. At that time, the Chassidic and Mussar movements influenced Orthodox thought. The Aristotilian influence of the medieval thinkers like Maimonides faded in favor of other, equally old, approaches to the problem. All of these notions have roots in the Talmud (our earliest written rabbinic texts) and earlier. It is just a matter of which approach to G-d from within that tradition people follow. [Note: While you may have heard of Chassidim, there are few if any Mussarists left post-WWII. It was an Orthodox movement based on personality improvement and stressed the inter-personal commandments.]
As for the question of Purgatory. Again, there is no one Jewish position on the subject, even if we limit ourselves to the traditional Orthodox position. The Talmud refers to the deceased going to a Word of Truth or going to the heavenswithout distinction. It is generally assumed these are homonyms, but these quotes still speak of a single afterlife. Others speak of the Garden of Eden and Gehenna. Neither could be meant literally, as Adam was in the literal Garden before death, and the valley of Hinnom (Gei Hinnom, in Hebrew) is a valley in current Jerusalem (where the Canaanite locals practiced human sacrifice by passing their children through the fires for Molech). Some therefore understand this to mean that Eden vs Gehenna is not a difference in "location" but rather in how one experiences the afterlife. Someone who spent life developing an appreciation for G-d and Truth will find it as pleasant (Heb: eden) as the garden, those who developed interest in other pursuits will find the experience hellish. A number of sources, such as R' Chaim of Vilozhin (founder of the current Yeshiva movement, late 18th early 19th cent) and R' Israel of Salant (founder of the Mussar movement, late 18th cent), describe the fires of gehenna as those of shame. Facing the truth of what one could have been and seeing what one was. The number of people subject to a permanent "stay" in gehenna is very small. The Talmud (Tr Sanhedrin, 11th ch) names 4 people up to their day who qualified. Otherwise, the experience itself is atoning, creating a person who is capable of enjoying the presence of G-d. For these few people, they so identified themselves with sin that to abandon sin would be to lose their essence.
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