The Non-linear Study On The Main Factors Influencing The Price Of Gold Futures

Gold futures is an important commodity futures varieties.Prosperity and development of gold futures market make the gold production enterprise and application of gold enterprise to be able to use the function of futures markets to hedging,risk aversion.Individuals can also participate in gold futures market to reap the benefits.Investors,hedging and arbitrage in gold futures market need to deeply understand the reason of gold futures price changes and analyze the effect factors of gold futures price changes in detail.However,there are many factors which can affect the price of gold futures.One factor plays a main role on one stage,and another factor plays a main role in another phase.Therefore finding out the factor that plays the leading role on the stage is particularly important,which is the basis of the forecast movements of the price of gold futures.On the basis of reference for other research,according to previous movements,this thesis analyzes gold futures price influence factors quantitatively.The research range is from March 2001 to November 2016.Gold futures prices,the U.S.dollar index,crude oil prices and interest rates are selected as the research variables.To determine the state of system of gold futures,the MS-VAR model are established.Through the estimation results analysis,the smoothed analysis and impulse response analysis,It is found out the main factors affecting the price of gold futures currently.Finally the conclusion is drawn,and effective investment advice is provided for the gold futures market participants.Research shows that,(1)Gold futures price changes can be divided into two states,"high" volatility state and "low" volatility state.The current system is in a state of "high" fluctuation state,and this state will continue.(2)When the system is in a state of "high" fluctuation state,the main factors affecting the price of gold futures are the U.S.dollar index and the federal funds rate.Gold futures prices and the U.S.dollar index have a strong negative correlation.Gold futures prices and the federal funds rate have weakly negative correlation.Thus in the current environment,the U.S.dollar index and the federal funds rate have a strong influence on gold futures prices.As a result,gold futures market participants can be based on the changes of the U.S.dollar index and the federal funds rate making the reverse operation to predict the price of gold futures.