Is gold a hedge or safe haven against oil price movements?

This paper assesses the role of gold as a hedge or safe haven against oil price movements. We use an approach based on copulas to analyse the dependence structure between these two markets. Empirical evidence for weekly data from January 2000 to September 2011 revealed the following: (a) there is positive and significant average dependence between gold and oil, which would indicate that gold cannot hedge against oil price movements; and (b) there is tail independence between the two markets, indicating that gold can act as an effective safe haven against extreme oil price movements. These results are useful for both portfolio risk managers and designers of policies aimed at using gold to preserve or stabilise oil exporter purchasing power.