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So, the sentence is:

We are an exercise in cognitive dissonance.

The context is that of someone who holds two or more contradictory beliefs at the same time.

My question is what does it mean to be "an exercise" in this sentence?

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In this context, "an exercise in" can also mean "an example of". The meaning comes from school textbooks that often describe their problems as "exercises" (because 'problem' can carry a negative connotation).

The sentence implies that the group demonstrates cognitive dissonance to such a degree that it could be used as an example to be cited in a textbook.

A similar construction would be "We are a textbook case of cognitive dissonance", which means the same thing.

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Exercise can be defined as a performance or activity having a strongly marked secondary or ulterior aspect; an act of employing or putting into play; use, as in exercising your right to free speech.

The use is famous in a phrase, an exercise in futility (something that is pointless, an action that achieves no end or goal, a totally pointless endeavor.)

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