Low-Frequency Volatility in China’s Gold Futures Market and Its Macroeconomic Determinants

Table 2

Estimates from regression of low-frequency volatility in China’s gold futures market on volatility of macroeconomic variables.

Regression on Chinese macroeconomic volatility variables			Regression on US macroeconomic volatility variables
Variable	Coefficients	SE	Variable	Coefficients	SE
CPIVOL			CPIVOL
IPVOL			IPVOL
IRVOL			IRVOL
FXVOL			FXVOL
M2VOL			M2VOL
CCIVOL			CCIVOL
Intercept			Intercept
Spring			Spring
Winter			Winter
Fall			Fall
Adjusted			Adjusted
-statistic			-statistic

Note. The left panel of the table presents results of regression of low-frequency Chinese gold volatility on volatility of Chinese macroeconomic variables; the right panel presents results of regression of low-frequency Chinese gold volatility on volatility of US macroeconomic variables (except for CPIVOL). SE is the covariance based standard error of estimated coefficients.
and denote significance at the 1% and 10% levels, respectively.