Abstract
The linear relationship between gold price and exchange rate time series data is presumably based on the normal distribution assumption although this relationship is not always valid under the extreme market condition. This paper applied copula method to model the dependent relationship between gold price returns and USD/VND exchange rate under normal and extreme market conditions. The results showed that there was no dependent relationship between gold price and USD/VND exchange rate as well as gold was not a risk hedging mechanism for the fluctuation of USD/VND exchange rate in less volatile market condition. Meanwhile, gold was the safe haven for the USD/VND in the extreme fluctuation market. The results implied that a stable exchange rate and gold markets under highly volatile market conditions gold markets and exchange rate market should be integrated to allow investors to exploit hedging mechanism in one market to avoid risk in another.
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