An Australian study says the answer is yes - a bad job may actually be more stressful than being unemployed. A look at data collected from 7,155 survey respondents over 7 years found that poor quality jobs were associated with poorer mental health (specifically depression and anxiety). In fact, even having just one negative aspect of job quality was associated with lower mental health scores.
As one might expect, those in high-quality jobs had better mental health scores, and moving from unemployment into one of these jobs was associated with an increase in mental health. However, unemployed people who obtained a poor-quality job actually saw a decrease in mental health scores when compared to those with continued unemployment--a 5.6 point drop on the mental health scale compared to a 1 point drop for those who continued to be unemployed.
Of course, this doesn't mean being unemployed is better for your mental health; overall, employment was associated with less depression and anxiety. But it does suggest that not just any job will do. While in this economy many people feel they should be happy with whatever job they can get, this study shows that it is normal to be unhappy with a job that is demanding, offers you little control or security, or pays unfairly. It also gives reason to hope--when you do get a better job, your mental health is likely to improve.
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