Treasury Spread Model: NO Chance of Double-Dip

The New York Federal Reserve updated its "Probability of U.S. Recession Predicted by Treasury Spread" today with data through April 2010, and the Fed's recession probability forecast through April 2011 (see top chart above). The NY Fed's model uses the spread between 10-year (3.85% in April) and 3-month Treasury rates (0.16% in April) to calculate the probability of a recession in the U.S. twelve months ahead (see details here).

The Fed's model (data here) shows that the recession probability peaked during the October 2007 to April 2008 period at around 35-40%, and has been declining since then in almost every month. For April 2010, the recession probability is only 0.37% (about 1/3 of 1%) and by a year from now in April 2011 the recession probability is only .041%, the lowest reading since September 1993.

According to the NY Fed Treasury Spread model, the recession ended sometime in middle of 2009, and the chances of a double-dip recession through early 2011 are essentially zero.