Conference paper: I propose a new method to estimate the cost of unemployment and underemployment by estimating the value of the shadow price induced by a constraint on the market work hours. This method, by taking into account the marginal utilities of the hours allocated to market work and to non-market work (such as home work and leisure), yields an estimation of the cost of unemployment. The empirical analysis is performed on a micro dataset, which allows to explore the cost of unemployment as a function of various individual characteristics. The results show that the cost of unemployment represents roughly 65% of the real wage rate and that high underemployment levels are at least as costly as unemployment.