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Is it bad to hold my breath when I workout?

You should be careful with this, because if you hold it for too long, you may end up passing out! There is actually a maneuver called the Valsalva maneuver which occurs when a person tries to exhale forcibly with a closed windpipe so that no air exits through the mouth and nose. This maneuver impedes the return of venous blood to the heart, and can also dramatically increase blood pressure. So it should be avoided.

 The proper way to breathe while resistance training is to inhale as you’re bringing the resistance back to its resting position, and exhale as you’re working hardest against the resistance. 

Yes. Holding your breath while working out, especially during high intensity exercise can potentially produce what is called the valsalva effect. This happens due to a sharp rise in blood pressure because a person is holding their breath, followed by a sudden drop in blood pressure. This can cause one to faint or blackout while performing an exercise. It is safer to learn proper breathing techniques while exercising which can be summarized as this:  Keep your face relaxed with the mouth opened and the tension being isolated to the muscle group that is doing the work. Exhale (or breath out) while lifting the weight / exertion phase and inhaling (or breathing in) while lowering the weight / relaxation phase.
Holding your breath is bad.  The main reason is your body needs oxygen to workout properly.  As you hold your breath you build up your CO2 in your body which will cause you to fatigue faster.  Some of my clients either like to count their reps which helps them breath or during your contraction of the muscle breath out and when you relax breath in.  So breathing will help you last longer in your workouts.
Proper breathing techniques increase the effectiveness and performance results of your workout. When oxygen is present, your body produces 38 ATP (energy) per glucose. Without oxygen, i.e. holding your breath, your body produces only 2 ATP per glucose. In addition to increasing the possibility of you passing out in front of your fellow gym-mates, a lack of oxygen will limit your ability to create the energy necessary to maintain muscle exertion.

It takes concentration and practice in the beginning, but creating the habit of steady breathing from lower in your diaphragm will allow you to work longer and harder and reach your fitness goals sooner.
Yes, you want to relax your body and focus on taking full deep breaths. A way to prevent this is counting your reps out loud. Well, not so loud that everyone at the gym stares at you. In order to count you have to breath perfectly, so this is a quick fixer. While you are at it scan your face and leave it tension free as well. Lets just isolate the muscles that we are exercising.

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