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The danger is greatest for severely obese women, who appear to have about double or triple the risk of losing their baby, although that risk is still small, the study authors noted.
The findings, based on a review of previously published studies, underscore the need for women who plan pregnancy to try to maintain a healthy weight, the researchers suggested.
"As for women who are already pregnant, they should follow existing guidelines for weight gain during pregnancy," said lead author Dagfinn Aune, from the department of epidemiology and biostatistics in the School of Public Health at Imperial College London in England.
"This analysis gives a better picture of the strength of the risks," said Aune. "Although fetal and infant deaths are relatively rare in high-income countries, affecting about 0.5 percent of pregnancies, they are devastating for the parents that are affected."
"All of these conditions have been linked to increased stillbirth risk. Although we don't know all the details of the molecular mechanisms, I think it's likely that there is a biological effect of excess weight on these outcomes," he said.
The report, published April 16 in the Journal of the American Medical Association, adds to existing concerns about the U.S. obesity epidemic.
Twenty years ago it was rare to see a woman who weighed 200 pounds, said Dr. Paul Cook, an obstetrician/gynecologist at Scott & White Specialty Clinic in Marble Falls, Texas.
"Flash forward to today and now it's very common to see women at 250 pounds," he said. "Right now, 85 percent of pregnant women in the U.S. are overweight or obese."
Cook agrees overweight women need to get their weight down before conceiving.
"Sometimes these women aren't counseled very frankly about their weight," he said. "It can truly jeopardize both their health and the health of their baby."
But if women don't come for counseling before pregnancy, the opportunity to improve their health and their babies' health is lost, Cook said.
For the study, Aune's team analyzed 38 previously published studies that looked at the association between weight before and during early pregnancy, and death of the fetus or infant.
These studies included more than 10,000 miscarriages, over 16,200 stillbirths and more than 4,300 deaths near the time of birth. Nearly 11,300 deaths during the first month of life and just under 5,000 infant deaths later were also covered.
Overweight and obesity is determined by body mass index (BMI), a calculation based on height and weight. A woman 5 feet 2 inches tall who weighs 220 pounds has a BMI of 40, which is considered severely obese.
A woman of the same height who weighs 105 to 130 pounds would have a BMI between 19 and 24, which is considered normal weight. At 130 to 160 pounds, her BMI would be 25 to 29, which is considered overweight.
Even modest increases in the mother's weight was linked to an increased risk of infant death, the researchers found. However, the link does not prove a cause-and-effect relationship.
And Aune added, the absolute risks are relatively low. The absolute risk for fetal death, which is the most common outcome, is 1 percent for obese women, he said. That risk rises with increasing weight, reaching 2.7 percent for severe obesity versus 0.76 percent for a BMI of 20, the study found.
"Still, we have to remember that overweight and obesity increase the risk of a number of other more common pregnancy complications and many other diseases as well," he said.
Much is still unknown about weight and pregnancy, Aune added. "We need more data regarding the optimal gestational weight gain in relation to stillbirths," he said.
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