This is a systematic review and meta-analysis that was published in Chest in 2013. 
It included 16 studies on depression or anxiety as predictors of COPD outcomes (incident COPD/chronic lung disease or exacerbation) and/or mortality, in 28,759 participants followed for 1 to 8 years, and six studies on COPD as a predictor of depression in 7,439,159 participants followed for 1 to 35 years. Depression or anxiety consistently increased the risk of COPD outcomes (RR, 1.43; 95% CI, 1.22-1.68), particularly in higher-quality studies and in people aged <= 66 years. Comorbid depression increased the risk of mortality (RR, 1.83; 95% CI, 1.00-3.36), particularly in men. Anxiety (or psychologic distress) increased the risk of COPD outcomes/mortality in most studies (RR, 1.27; 95% CI, 1.02-1.58). Finally, COPD consistently increased the risk of depression (RR, 1.69; 95% CI, 1.45-1.96).
The authors conclude that depression and anxiety adversely affect prognosis in COPD, with an increased risk of exacerbation and possibly death. COPD increases the ris k of developing depression.
1 Atlantis E, Fahey P, Cochrane B, et al. Bidirectional associations between clinically relevant depression or anxiety and COPD: A systematic review and meta-analysis. Chest 2013;144:766–77. doi:10.1378/chest.12-1911