The aim of this paper is to analyse the effect of oil price shocks on unemployment in an oil-importing country such as Spain to determine whether they affect unemployment differently in times of financial distress. In order to do so, we use Bayesian methods to estimate a SVAR model with endogenous oil shocks. According to our results, the response of unemployment to oil shocks is clearly different in the pre-crisis compared to the crisis period. Asymmetries are also an important feature of the data: positive oil shocks contributed negatively to the evolution of employment in Spain after the outbreak of the crisis, while any decreases had less of an effect in terms of a recovery in the employment rate. (C) 2019 Elsevier Ltd. All rights reserved.