NY Fed Model: 1-in-50 Chance of 2011 Double-Dip
The New York Federal Reserve updated its "Probability of U.S. Recession Predicted by Treasury Spread" with treasury yield data through September 2010, and the Fed's recession probability forecast through September 2011. The NY Fed's Treasury model uses the spread between the yields on 10-year Treasury notes (2.65% in September) and 3-month Treasury bills (0.15%) to calculate the probability of a U.S. recession up to twelve months ahead (see details here) using the spread between those two yields.
The Fed's model (data here) shows that the recession probability peaked during the October 2007 to April 2008 period at around 37-42% (see chart above), and has been declining since then in almost every month. For September 2010, the recession probability is only 0.45% and by September of next year the recession probability is slightly higher, but still less than 2% (1.7%). According to the NY Fed Treasury Spread model, the chances of a double-dip recession through fall of next year are less than 1 out of 50.