The positive effects of exercise have been strengthened by a recent review of the latest evidence of papers related to depression and exercise. There was no conclusion as to the best types of exercise or whether there was any lasting effect if exercising stopped.
Comments made included distinguishing between curative and useful activities. For instance having pneumonia benefits from getting out to get more fresh air but it doesn't cure the pneumonia. Exercise in itself will not relieve depression unless it is done to a level that causes the release of endorphins which would mean running at 6.5 to 6.7 miles per hour for 10 minutes; not often attempted by those suffering with depression.
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Cochrane Database Syst Rev. 2013;9:CD004366. Abstract