In this paper, we study the relation between the high-yield bond spread and the unemployment rate in the euro area. This is done using Bayesian VAR models with stochastic volatility. The models are estimated assuming both Gaussian and non-Gaussian distributions for the error terms. Analysing data ranging from January 1998 to December 2020, our results show that an increase in the high-yield bond spread increases the unemployment rate. In terms of the specification of the models, we find that Gaussian error terms are preferred. Our findings hence lend support for the large body of previous literature relying on a Gaussianity assumption in their modelling frameworks. © 2021