Just wondering if there is any research out there illustrating that focusing on your breath means your focus is external (because you're focusing on a reaction to the environment, as air is part of the environment, not the body).
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It is internal focus. Though Oxygen is created by nature and environment but it is for human and animal, plant species. The tissues in body require oxygen for processing of every body organ.
Pranayam is one most important breathing exercise in yoga. It instructs inhaling and exhaling process and pranayam has various types. Pranayam concentrates on holding the air inside the lungs in body for few seconds. It reduces stress level and has many benefits.
There are many research papers available on Scopus website. You will get it easily on Pranayam.