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I always had this question in my mind: Why people use the phrase "sense of humour" for the quality of being humorous and funny?

The word sense suggests it is about perceiving and receiving something. But when somebody has good humour and hence referred to as having a good sense of humour, it shows that they create humour rather than receiving and appreciating someone else's humour.

Does this mean that to be able to create good humour one must have a sense and appreciation for good humour as well?

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I guess a simple an explanation is that in order to be funny (most of the time) you need to know (sense) when something is funny. –  George Duckett Mar 15 '12 at 11:38
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The following is probably correct, in a cognitive, psychological way:

to be able to create good humour one must have a sense and appreciation for good humour

However, I don't think the expression, to have a sense of humor is motivated by that logic. I perceive that to have a sense of humor is just as likely to refer to the ability to be humorous as to be appreciative of humor. In other words, having a sense of humor is used to describe someone who says funny things, but also to describe someone who responds favorably to funny things. This may be an instance of American English. I'll cite part of a prior EL&U SE question What is a dry sense of humor? for corroboration:

Developing a dry sense of humor can be challenging and fun....Every time I employ my dry wit, I get many different reactions.

Note in particular the answer, which is consistent with my understanding of this expression, as I described above:

dry... (of a joke or sense of humor): subtle, expressed in a matter-of-fact way... "he delighted his friends with a dry, covert sense of humor"

Additional confirmation is provided by an excerpt from both title and content of this eHow article, How to Improve Your Sense of Humor

...why people don't consider you "funny." You may discover that it's just your timing or delivery... your jokes [may be] so off-color, unusual or offensive that the general "audience" doesn't appreciate them.

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Why people use the phrase "sense of humour" for the quality of being humorous and funny?

Having a sense of humour more often means you appreciate humour rather than being a funny person or one who makes jokes.

From Wikipedia:

The majority of people are able to experience humour, i.e., to be amused, to laugh or smile at something funny, and thus they are considered to have a sense of humour.

Does this mean that to be able to create good humour one must have a sense and appreciation for good humour as well?

Yes, to be funny, it helps if you appreciate humour, so funny people usually have a sense of humour as well.

The Free Dictionary defines it as primarily being able to appreciate humour, and parenthetically being to express humour:

Noun 1. sense of humour - the trait of appreciating (and being able to express) the humorous; "she didn't appreciate my humor"; "you can't survive in the army without a sense of humor"

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I'm just thinking out loud here (writing actually). I vaguely remember something related to how people long long time ago used to think that "humors" (a kind of body fluids) would somehow affect our behavior. So having a good sense of humor would mean to be able to feel or detect those humors.

A dry humor would be composed by the elements of Earth and Fire, corresponding to the black and yellow biles (I think it should be red, but anyways). These are Choleric and Melancholic.

So I'm still missing how all this turned into saying someone funny has a good sense of humor, but I think it's something related to the humorism rather than what some other fellows have said.

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"Sense of humour" refers principally to an empathy with the audience of the witty remark or action.

The humours of the body, in mediaeval medicine, related to emotions and personality traits of melancholy, choler, sanguinity, and being phlegmatic.

A person with a sense of humour simply tempers his wit to the humour of his audience, because he senses his audience's humour (or "bent").

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