Gold Futures Pricing Model For Empirical Analysis

Like other commodities, gold futures have a hedging function. Since the American sub-loan crisis drives to the global financial crisis in2008, the world economy has been affected to varying degrees, such as the substantial depreciation of the dollar, while in contrast, great increase of futures and spot gold favored by investors, which is considered to be the effective hedging tool. From the risk perspective on gold futures, the pricing model analysis will better understand on gold demand, will help establish and improve the price mechanism, will promote China’s gold futures market, and will be better use of the hedging function for investors.Based on some conclusions reference, this paper will deeply analyze factors affecting the gold futures price, summarize the influence one by one with combination of financial crisis, and find out the impact of significant factors as the theoretical and empirical analysis. The empirical part mainly uses the random analysis method, according to the domestic and foreign scholars’references, and establishes the two factors model and the short-long term model. The selected factors respectively in the model, estimation of parameters, and then extrapolating prediction, and test the prediction effect, a comparison of two models of the advantages and disadvantages, thus draws the conclusion that the short-term and long-term prediction model is better than the two factor model in theoretical, and prediction of gold futures price model. Through this paper, for the specific stage of gold futures price influence factors analysis, can accurately on the price of gold futures pricing, has the very strong practical significance; at the same time, based on the price of gold futures influence factor analysis, the gold price conduction mechanism also has a very important theoretical basis.The innovation of this paper lies in the choice of the financial crisis, before and after the crisis period as the time period, for factor choice has certain deviation, verify that the CDS for the gold futures price influence, select CDS price as long term model of influence factors.