The New York Federal Reserve updated its “Probability of U.S. Recession Predicted by Treasury Spread” today with treasury yield data through June 2010, and the Fed’s recession probability forecast through June 2011 (see top chart above). The NY Fed’s Treasury model uses the spread between the yields on 10-year Treasury notes (3.2% in June) and 3-month Treasury bills (0.12% in June) to calculate the probability of a U.S. recession up to twelve months ahead (see details here) using the spread between those two yields (3.08% in June, see bottom chart above).
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 June 2010, the recession probability is only 0.06% and by a year from now in June of next year the recession probability is only slightly higher, at only 0.18% (less than 1/5 of 1%).
According to the NY Fed Treasury Spread model, the chances of a double-dip recession through the middle of next year are essentially zero, see earlier CD post here.