Segmentation by skills in the labor market is widespread. However, most existing studies of uncertainty do not distinguish labor by skills. In this paper I investigate the effects of macroeconomic uncertainty on relative skilled-to-unskilled wages and employment and I show that macroeconomic uncertainty shocks lead to different labor market outcomes for skilled and
unskilled workers. First, I show empirically in a structural VAR model that uncertainty shocks are recessionary. As a result of the uncertainty shock, skilled workers experience a steeper fall in their wages than unskilled workers, and the relative employment increases. Second, I propose a dynamic New Keynesian model consistent with these findings. In this model the presence of
capital-skill complementarity allows to distinguish different roles of skilled and unskilled labor in production. The uncertainty shock is contractionary and pushes the demand for labor and capital inputs down, relative wages fall and relative employment increases. The model uncovers a novel propagation channel relying on capital-skill complementarity and precautionary labor
supply, which explains the effects of heightened uncertainty on the divergence of labor income and employment between skilled and unskilled workers.