Mind the wealth gap: a new allocation method to match micro and macro statistics on household wealth

The financial and economic crisis that have shaken many countries in the last years have increased demand for timely, coherent and consistent distributional information for the household sector. In the Euro area, most of the national central banks collect such information through income and wealth surveys, which are often used to inform their decisions. These surveys, however, may be affected by non-response and under-reporting, determining a mismatch with macroeconomic figures from national accounts. In this paper, we develop a novel allocation method that extends proportional allocation and combines information from a power law (Pareto) model with imputation procedures based on calibration to address these issues simultaneously, when only limited external information is available. Finally, we produce distributional indicators for four Euro-Area countries, which are consistent with their national accounts.