We present a tractable general-equilibrium model of time-varying precautionary saving due to changes in uninsured idiosyncratic risk. In our model, agents facing incomplete markets and borrowing constraints respond to countercyclical changes in unemployment risk by altering their buffer stock of wealth, with a direct impact on aggregate consumption. In a calibrated version of the model, the response of aggregate consumption to a typical NBER recession is found to be twice as large as that implied by a comparable representative agent economy, and about 30% larger than that implied by a comparable economy with borrowing constraints but full unemployment insurance.