Missing the Wealthy in the HFCS: Micro Problems with Macro Implications

Sofie R. Waltl
Luxembourg Institute of Socio-Economic Research & Vienna University of Economics and Business; sofie.waltl@liser.lu

Robin Chakraborty
Deutsche Bundesbank; robin.chakraborty@bundesbank.de


There is substantial heterogeneity in net worth and the structure of wealth. Distributional data consistent with macroeconomic aggregates facilitates the calibration of models explicitly taking into account this heterogeneity and additionally provide a powerful tool to monitor macroeconomic developments. This article assesses the reliability of wealth surveys to compile Distributional National Accounts, which link micro wealth data to the National Accounts. Computing aggregates from the Household Finance and Consumption Survey (HFCS) usually yields much lower amounts than what is reported by macroeconomic statistics. An important source of this gap may be the lack of the wealthiest households in the HFCS. This article combines a semi-parametric
Pareto model estimated from top survey data and observations from rich lists with a stratification approach making use of HFCS portfolio structures to quantify the impact of the missing wealthy households on component-specific micro-macro gaps. We find that unadjusted micro data substantially underestimates wealth inequality. Largest effects are found for equity. For other components, the missing wealthy explain less than ten percentage points of the micro-macro gap. We document that differences in strategies to oversample wealthy households limits the cross-country comparability of unadjusted survey-implied wealth distributions and that our top tail adjustment leads to more comparable measures.
JEL.: D31, E01

Keywords: Distributional National Accounts (DINA); HFCS; Micro-Macro Linkage; Semi-parametric Pareto Models; Wealth distribution


Working Paper: [ECB Working Paper]

Presentations: [“The legacy of Tony Atkinson in inequality analysis”, LIS, Luxembourg, May 2018] [OeNB, March 2018] [Vienna University of Economics and Business, March 2018] [WID.world conference, Paris School of Economics, December 2017] [ECB HFCN User workshop, Frankfurt, November 2017] [U Graz, September 2017] [Deutsche Bundesbank, Frankfurt, August 2017] [5th Luxembourg Workshop on Household Finance and Consumption, Banque Centrale du Luxembourg, June 2017] [Expert Group on Linking Macro and Micro Statistics for the Household Sector, ECB, Frankfurt, June 2017]