Before answering this question, it may be helpful to first explain the sacrament of confession a little, since there are quite a few misunderstandings concerning it among many non-Catholic Christians. One misconception many non-Catholics have, for example, is thinking that Catholics believe in “confessing one’s sins to a man instead of to God”. Naturally, therefore, they reject the practice since (as they very truly point out) a priest is a fellow sinner, and only God can forgive sins. That is absolutely true. But to think that this argues against the sacrament of confession would be to misunderstand what Catholics believe actually occurs during this sacrament.
For one thing, it should be stressed that Catholics can and should confess their sins in private prayer. For most sins, they can receive forgiveness in that way (for lesser sins, at least). But even when going to confession, a Catholic believes he is confessing his sins to God then as well. He is simply doing so through the instrumentality of a priest, and that God in turn forgives him through the priest. The priest is simply the "flesh", so to speak, that Jesus Christ employs on earth, as He Himself exercises His eternal priesthood in Heaven in reconciling us to His Father.
It is similar to how Christ worked through the Apostles, for instance, when they worked miracles. Even though, strictly speaking, only God can perform miracles, nevertheless one could say that in a secondary sense the Apostles “performed miracles” as well. But they did so only in the sense that Christ worked miracles through them (cf. Acts 3:12-16). The same is true when a priest "forgives" sins. It is only in the sense that Christ works through him, and so it is Christ to whom we confess our sins and who grants us forgiveness, though He uses a priest to do so. (Moreover, while one hopes that the priest is, by the grace of God, a holy man, still, it matters not his own spiritual state, even if he is a very great sinner. After all, it is the Second Person of the Trinity who is primarily forgiving sin, no matter through whom He acts. And God can act through anyone, even if he be such a corrupt man as Balaam or Caiaphas; cf. Nm 22-24; Jn 11:49-52).
Whether or not Catholics are right in believing that Christ so works through priests, of course, is another matter, something I hope to touch on in a minute. At the moment, however, I simply wish to point out that such a belief (whether right or wrong) is nevertheless quite different from a futile attempt to try to obtain forgiveness from a fellow sinner, as if the priest could, by his own authority, grant such forgiveness. (Rather, he stands in need of forgiveness just as much himself!)
So why do Catholics believe that priests have such authority to forgive sins (again, only in the sense that Christ works through them)? The short answer is because Christ granted unto His Apostles the authority to forgive sins as an essential part of their mission, and such power has been handed down to their successors. We read in the Gospel of John that Jesus appeared to his Apostles on the evening of that first Easter and gave them this power.
Then the same day at evening, being the first day of the week, when the doors were shut where the disciples were assembled for fear of the Jews, came Jesus and stood in the midst, and saith unto them, Peace be unto you. And when he had so said, he showed unto them his hands and his side. Then were the disciples glad, when they saw the Lord. Then said Jesus to them again, Peace be unto you: as my Father hath sent me, even so send I you. And when he had said this, he breathed on them, and saith unto them, Receive ye the Holy Ghost: Whoseover sins ye remit, they are remitted unto them; and whoseover sins ye retain, they are retained. (John 20:19-23)As we see in the above passage of Holy Scripture, Jesus sends his Apostles on a mission, just as He himself had been sent by His Father. Included in this mission is forgiving (or, as the case may be, retaining) sins. Naturally, precisely because the Apostles were simply men, they could not forgive sins by their own power. Only God has the ability to forgive sins. But just as only God can work miracles, yet can employ men as His instruments in doing so by Himself working through them, the same is true when it comes to the forgiveness of sins. That is why Christ breathes on the Apostles first, and gives unto them the Holy Ghost, so that, working by the power of the Holy Ghost, they would have the ability to accomplish the mission He gave them, being the instruments Christ uses on earth to apply the merits of His exercise of His eternal priesthood in Heaven (the latter described in the book of Hebrews). What Paul wrote in another (admittedly different) context would nevertheless apply to confession as well:
And all things are of God, who hath reconciled us to himself by Jesus Christ, and hath given to us the ministry of reconciliation; To wit, that God was in Christ, reconciling the world unto himself, not imputing their trespasses unto them, and hath committed unto us the word of reconciliation. Now then we are ambassadors for Christ, as though God did beseech you by us: we pray you in Christ's stead, be ye reconciled to God." (2 Corinthians 5:18-20)(Again, Paul was writing in a different context. For the present, however, it is enough to note a certain parallel between this passage and the one from John, since in both passages it shows that God reconciles us to Himself through the ministry of other human beings.)
Of course, for the Apostles (and in consequence their successors and to whomever such delegated their authority) to be able to know whether to “remit” sins, or whether instead to “retain" them, they would need to know the sins and the relevant circumstances, and whether the one seeking forgiveness was truly repentant of his sins. (After all, it is quite easy to say that we are "sorry" when speaking in a general way about our sins, and yet when it comes to specific sins, not necessarily be sorry for those in particular. Or perhaps we may rationalize them away. Yet repentance for any sin is necessary for it to be forgiven). Since God did not also grant the power of reading the minds of others to priests, naturally this implies the necessity of one to confess his sins in particular to the priest (not giving great detail; just the number and type, with only enough detail as is necessary) and to express sorrow for them, so the priest can make this decision. As can be imagined, it is only on the rarest of occasions that a priest would "retain" sins, and that only if it seems manifest that the person is not truly repentant. That very rarely occurs (since most people who would take all the trouble to confess a sin are not likely to do it unless they are repentant), but it can happen. For instance, a person may confess a sin, but try to rationalize it away, but it is simply a rationalization, and nothing more. The normal course, however, is that if a priest is going to err, he is going to err on the side of assuming that the person is truly repentant, not the other way. (In any case, if a priest, for whatever reason, "remits" sins to someone who is not repentant, or in very rare cases "retains" sins to someone who is repentant, God is not deceived. It is primarily God the sinner is confessing to, and He will forgive or retain accordingly, even if the one confessing may need to try to rectify the situation still.)
Needless to say, the problem of sin is one that afflicts every generation, and forgiveness of sins is something that people of every generation need. Christ died on the cross since we are all sinners, and not just the people in the Apostles’ time, and in the areas that they themselves visited. Consequently, the Apostles both delegated such authority to others as well as passed on such authority to future generations. Hence, why we see that from the earliest ages of Christianity, people availed themselves of this sacrament.
This does not mean the sacrament of confession is the only means for Christians to receive forgiveness of sins. First, we all commit venial (lesser) sins all the time. It would be impossible to confess all of those in particular. So for venial sins, confessing to God through regular prayer and receiving forgiveness by such means is sufficient. Rather, for the sacrament of confession, one need only confess their mortal (serious) sins, though confessing some venial sins, even those already forgiven, can be helpful. Certainly, for the practical necessity mentioned above, it is a reasonable interpretation of Jesus's words in John 20 to be understood as only referring to mortal sins as strictly necessary to be confessed (and such has been so understood by the historic Church).
Moreover, even for mortal sins, the Church has always understood that going to confession is only a normative necessity, not an absolute necessity, in order to receive forgiveness. For instance, if someone is about to die, but is not able to go to confession, then if they have perfect contrition (i.e., sorrow for sins, not simply because of fear of punishment, but out of a supernatural love for God, knowing that such sins offend Him), then God will forgive them. God obliges no one to the impossible. It is true repentance that He seeks most of all, of course. (In fact, that is the case for Catholics in any circumstances, not just when in danger of death: whenever a Catholic has perfect contrition, he is forgiven of all sins, even mortal sins, though it should be kept in mind that such contrition implies the will to do whatever God wills the person to do, including going to the sacrament of confession as soon as possible.)
The same thing would also apply to a non-Catholic. Generally speaking, non-Catholics are unaware of (or at least honestly unconvinced) of the necessity of the sacrament of confession, through no fault of their own. That being the case, they do not go to confession. Yet that does not mean they cannot have perfect contrition for their sins. Since that is what God looks for most of all, then if they do have such perfect contrition, He forgives their sins anyway, since they are in invincible ignorance of the necessity of confession. (Of course, I do not mean to imply that it is a matter of indifference therefore as to whether one should be a Catholic since, among other things, one who does know that Catholicism is true is obligated to become Catholic, lest he sin mortally against conscience.)
As to why Jesus instituted this sacrament, that is a matter of speculation. For a Catholic, the very fact that He did establish it is sufficient reason for us, even if we did not at all understand the reasons why He did so. Christ is God, and certainly knows what He is doing. Yet there are some very practical reasons I can think of as to why it is so valuable. First, there is one that I mentioned earlier: that in private prayer it is easy to rationalize sins away, obviously something that can be prevented when confessing to a priest. Second, hearing the words of God’s forgiveness in an audible manner is such a blessing, knowing that we are forgiven, in spite of what we may "feel" or "not feel", as the case may be. Our human nature was created by God in such a way that such a concrete form (an "Incarnational" form, one could say) is very helpful. Third, the priest is able to give us much practical advice on how to combat such temptations to sin in the future. (And, precisely because he is in a more objective position to give such advice, it is so often things we would have never thought of, because we are “too close to the situation”.) No doubt there are many other reasons as well.
This is simply a sketch of why Catholics go to confession, though it is possible to go into more detail. (Incidentally, it is not only Catholics that practice confession. Basically, all Christian groups except Protestants do so, such as the Orthodox, Copts, etc. And, in fact, even some Protestants do as well- C.S. Lewis, for example, went to confession to an Anglican priest. So it is not a distinctively Catholic practice, in other words.)
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