Postgres JSON Output

Use to_json(), json_build_object() and json_agg():

with q1 as (
    select * from 
        (values 
            ('indicator1', 'company1', 'value1'),
            ('indicator1', 'company2', 'value2'),
            ('indicator1', 'company3', 'value3'),
            ('indicator2', 'company1', 'value4'),
            ('indicator2', 'company2', 'value5'),
            ('indicator2', 'company3', 'value6')
        ) alias(ind, comp, val)
    ),
q2 as (
    select ind, to_json(array_agg(comp)) companies, to_json(array_agg(val)) "values"
    from q1
    group by 1
    order by 1
    ),
q3 as (
    select companies, "values"
    from q2
    ),
q4 as (
    select json_build_object(ind, row_to_json (q3)) obj
    from q2
    join q3 on q2.companies::text = q3.companies::text and q2."values"::text = q3."values"::text
    )
select json_agg(obj)
from q4;

Alternative compacted solution, which avoids the clumsy join condition:

with q1 as (
    select * from 
        (values 
            ('indicator1', 'company1', 'value1'),
            ('indicator1', 'company2', 'value2'),
            ('indicator1', 'company3', 'value3'),
            ('indicator2', 'company1', 'value4'),
            ('indicator2', 'company2', 'value5'),
            ('indicator2', 'company3', 'value6')
        ) alias(ind, comp, val)
    ),
q2 as (
    select ind, to_json(array_agg(comp)) companies, to_json(array_agg(val)) "values"
    from q1
    group by 1
    order by 1
    )
select json_agg(
    json_build_object(
        ind, 
        json_build_object(
            'companies', companies, 
            'values', "values")
        )
    )
from q2