Abstract: The relation between the price of gold and foreign exchange rate was studied based on a model of quantile association regression. It was found that the price of gold and foreign exchange rate are usually negatively related. But during the financial crisis, evidence of a positive tail dependence was found, because of investors’ risk aversion. Furthermore, existence of symmetric extreme tail dependence between the price of gold and the exchange rates of the Euro, Australian dollar, British pound and Canadian dollar during the crisis, but asymmetric extreme tail dependence existed in the long term. Empirical findings also indicate that the dependence strength significantly increases on upper and lower quantiles.

Key words: gold, foreign exchange, financial crisis, co-movement