With dispersed information, how much can agents learn from past endogenous aggregates such as prices or output? In a rational-expectations equilibrium, if general equilibrium effects are strong enough, aggregates no longer perfectly reveal underlying fundamentals. In this con- founding regime, the effects of informational frictions are persistent over time, and the aggregate outcome displays an initial underreaction followed by a delayed overreaction relative to its perfect- information counterpart. In a standard New Keynesian model, we show that the confounding regime is more likely to arise under a dovish monetary policy rule.