The Global Financial Crisis of 2007–2009 ignited significant reconsideration of financial and economic policies, spurring extensive research efforts to prevent future crises and cultivate a more stable and inclusive economic framework. Our research proposes a macro-financial empirical modelling framework that can assess various short-term and long-term macroeconomic risks through the examination of the tails of distributions of macroeconomic variables. The analysis reveals many novel facts regarding higher moments of the US output growth distribution. It also implies new findings and policy recommendations related to the impact of financial (risk premia) as well as monetary policy shocks on downside macroeconomic risk.