We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Distributional accounts for households enable measurement, study developments and identify drivers of inequality. Distributional information on households' wealth is available from the Household Finance and Consumption Survey only for three points in time (2009 - 2018), while aggregates are...

The aggregate saving indicator does not directly reflect changes in individuals’ microeconomic behavior. From the official statistics’ point of view, households choose between spending, which generates additional income and consumption in the economy, and setting money aside, which does not....

Macroeconomic aggregates on households' wealth have a long tradition and are widely used to analyse and compare economies, yet they do not provide any information about the distribution of assets and liabilities within the population. The Household Finance and Consumption Survey (HFCS)...

The aggregate saving indicator does not directly reflect changes in individuals' microeconomic behavior. From the official statistics' point of view, households choosebetween spending, which generates additional income and consumption in the economy, and setting money aside, which does not....