The Analysis Of The Influence Factor To Gold Futures Price Changes In China Based On The Impulse Response Function

On September11,2007, gold futures contract is approved by the China Securities Regulatory Commission on the Shanghai Futures Exchange listed issuers; January9,2008, gold futures in Shanghai Futures Exchange formally trading. So far, our country has formed period, coexistence of spot market of the dual market structure. Gold futures give full play to the gold market’s investment function, promote China’s gold market and financial market with China, increase in the world gold market words power. In favor of gold production, processing enterprises, products hedging to avoid market risks, improve the level of risk management, and enhance market competitiveness and international competitiveness. Therefore, to understand the impact of China’s gold futures price volatility of the various factors in China’s socialist political system and economic environment of the different forms of expression, and then understand the characteristics gold futures price formation mechanism has a certain theoretical value and practical significance.This paper mainly adopts VAR model, impulse response function, variance decomposition technology, Granger causality test and co-integration test methods such as Johansen, on China’s gold futures price influence factors empirical study.The empirical test results show that, the dollar index, oil prices on the Shanghai gold futures is the effect of lag; while the Shanghai spot gold price and commodity price current on gold futures market price impact. This reflects the Shanghai gold futures market for international information sensitivity must be lower than the domestic information, the Chinese social system and foreign trade policies are closely related. In view of this, we should further improve China’s gold futures market operation mechanism, promote the gold futures market and the gold industry coordination development.