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The word translated “futile” carries the idea of both foolishness and wickedness. This word is often
used in connection with idolatry (worshipping of idols)
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Therefore when Paul tells us that the Gentiles’ “thinking had
become futile” (Romans 1:21), he means that the Gentiles, “in refusing to
recognize the true God, entertained foolish and wicked thoughts of the Divine
Being; that is they sank into the folly and sin of idolatry” (Hodge, Commentary
on Romans, p.39)