Several empirical studies in the literature have documented the existence of a positive correlation between income inequalitiy and unemployment. I provide a theoretical framework under which this correlation can be better understood. The analysis is based on a dynamic job search under uncertainty. I start by proving the uniqueness of a stationary distribution of wages in the economy. Drawing upon this distribution, I provide a general expression for the Gini coe¢ cient of income inequality. The expression has the advantage of not requiring a particular speci…cation of the distribution of wage o¤ers. Next, I show how the Gini coe¢ cient varies as a function of the parameters of the model, and how it can be expected to be positively correlated with the rate of unemployment. Two examples are o¤ered. The …rst, of a technical nature, to show that the convergence of the measures implied by the underlying Markov process can fail in some cases. The second, to provide a quantitative assessment of the model and of the mechanism linking unemployment and inequality. I thank the participants of workshops at the Department of Economics of the University of Chicago and at the Getulio Vargas Foundation Graduate School of Economics for their comments.