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Suppose we let the exponent be complex-valued, say of the form $a+jb$. Then we have $e^{(a+jb)n}=e^{an}e^{jbn}=(e^a)^n e^{jbn}$. So the result is a complex sinusoid multipled by a real exponential signal (whose base is $e^a$).
So when the magnitude $|z|$ is greater than 1, we have a signal that oscillates and exponentially grows with time, and if the magnitude is less than 1, it decays over time. And, you guessed it, if the magnitude is exactly equal to 1, it does not grow or decay, but only oscillates. In fact, if the magnitude is 1, the complex exponential is, by definition, simply a complex sinusoid: $|1|^n e^{j\omega n}=e^{j\omega n}$. Therefore you can see that complex sinusoids are a subset of the more general complex exponential signals.
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