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I would say that we know this because: 1) it was predicted even in the Old Testament, in passages from Jeremiah, Amos, Zechariah, and Joel, which speak of God's restoration of Israel to the glory that it had possessed under David and Solomon. (It was a mistaken interpretation of such passages as pertaining to the Messiah's first coming that caused the religious authorities of Jesus' day to overlook prophecies such as Isaiah 53:8-9 (pertaining to His appearing as a suffering servant), or Daniel 9:26 (which describes an anointed one -- that is, the Messiah -- being cut off) that spoke of Jesus' future suffering and death.) 2) Jesus Himself said that He would return (in passages such as John 14:2-3, Luke 18:8, Matthew 24:30-31, Matthew 25:31, Mark 13:26-27, and Revelation 21:12), and correlated His words to fulfillment of Old Testament prophecy (such as Isaiah 52:13-15, and Isaiah 59-62); 3) angels testified to it at the time of Jesus' ascension (Acts 1:10-11); and 4) Jesus' followers lived in anticipation of it. (Christ's future return is mentioned in every book of the New Testament except for Galatians, 2 John, and 3 John.)
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