PhD or not?

Hello! I have always been curious about doing a PhD, and doing research would really be a dream. I am 35 years old and have recently become a father. I have a job where I enjoy working as an investigator within the labor market. I am thinking about how I can think about doing a doctorate. I have tried to investigate the possibilities of becoming a collaborative doctoral student at my current workplace (employer's organization/authority), but it seems unlikely.

Doing a PhD would of course mean a financial loss, and I'm pretty happy with my current job and know what I have, even if everything isn't perfect. I feel a bit at a loss and wonder if there is any general advice in my situation? Appreciate any constructive input. I work in Stockholm in Sweden by the way and I hold a masters degree.