Gold price hits record high more than ¢C1900 in 2011, so how to forecast gold price and whether the influence factor of gold price change over time become more interesting issues for people. The beginning of this paper tries to find out the reasonable gold price then cut the study period into 7 stages and examines the influence factor of gold price in each stage from 1972 to 2011. Finally, this research uses the recent influence factor to build a forecasting model and tests its performance. The empirical result has three parts. First, from the view of purchasing power at December 31, 1971, gold price is too high in the end of 2011. Secondly, influence factors of gold price will change over time. They usually alter with important economic events of the world. Thirdly, the forecasting model has good performance in both in-sample and out-of-sample backtesting, but if the influence factor had changed, the performance would be worse in out-of-sample backtesting.