Empirical Research Of Global Gold Futures Pricing Factors And Its Price Changes

Gold futures appeared in China future market later than in International market, and gold futures is traded in global market24hours, all of which lead a result that China’s gold futures prices is greatly influenced by foreign gold futures prices. Therefore, it is necessary to study the pricing elements of international gold futures and characteristics of its price changes.The article began with qualitative analysis of effect factors influencing gold futures prices from the perspective of macroeconomics and microeconomics. The factors of macroeconomics included global and US’s economic development, easing monetary policy, inflation, a speculative bubble, the economic crisis and other uncertainty factors, while the ones of microeconomics were the supply and demand of gold, volatility index and the like.After that analysis, the empirical analysis of gold futures price influencing factors was conducted, and then the gold futures pricing elements were identified. In this part, a theoretical model on the determinants of gold futures price was deduced, which was on the base of Dornbusch’s overshooting model and Frankel’s method of finding determinants of commodity prices while characteristics of gold futures market were combined together; at the mean time least squares regression and panel data regression method were used. Moreover, In order to distinguish specific determinants of gold futures price during short-run, long-run and the economic crisis respectively, four samples intervals, which were ones:1981-2011,2003-2006,2007-2008,2009-2011, were selected. The conclusions were drawn as follows:gold futures price was determined by U.S. dollar index, CDS, U.S. economy, global economy and interest rates in the long run; during the economic crisis, it was determined by U.S. dollar index, CDS, global volatility Index, global liquidity and inflation. It was deduced from the conclusions that the doilar index and CDS were relatively the more stable pricing elements in different periods.In the analysis of gold futures price variation, gold futures pricing model was established by combination of the characteristics of the gold futures pricing determinants and two-factor model of a deterministic component introduced by Lucia and Schwartz, and the parameters were estimated by state-space model. Gold futures prices were decomposed into two parts:one part was the predictable ones that indicted a linear function of the dollar index and sovereign credit default swaps, and the other part short-run and long-run ones. The results indicated that the predictable part had a negative impact on the gold futures price, while short-run and long-run parts had a positive impact, both of which jointly affected gold futures price.