In this paper, we estimate the effect of changes in the unemployment rate on private health insurance coverage of New Zealanders using quarterly national data from 1999 to 2009. A one percentage-point increase in the unemployment rate is associated with a decrease of 9,843 lives covered by private health insurance or a 0.32 percentage point decrease in the coverage rate of the total New Zealand population – representing a change of 0.7-1.0% from the baseline. We also find some evidence of a stronger effect on men and the elderly and of an asymmetric effect on new insurance contracts vs. terminations.