Since 1970s, non-currency of gold makes the price of gold rarely controlled by the government, and frequent speculation in the gold market causes the gold price volatility. Firstly makes theoretically qualitative analysis on the factors affecting the price of gold, then on the basis of monthly data from January 1990 to April 2009, cointegration theory and error correction model are applied to analyze quantitatively the long-term and short-term factors. The results show that four factors including US dollar exchange rate, U.S. inflation rates, oil prices and the Dow Jones industrial average all affect the gold price volatility in the short or long term, while the U.S. federal funds rate only impacts gold price in the long term and negligible in short term. In addition, the international political environment, significant political and war events will affect the price of gold.