A beautiful, useful chart from Nomura shows what gold (the red bar) has done in various crises.
The answer is: It depends. Sometimes it goes up, and sometimes it goes down.
The report, which asks the question of whether gold is a safe-haven or a risk asset, proposes the following:
We can summarise gold’s relationship with risky assets as follows:
— Risky state: gold behaves like a risky asset, with a relatively stable positive correlation with risky assets.
— Tail risk state: gold appreciates significantly and quickly becomes de-correlated with risky assets after an initial event shock
— Deleveraging state: gold quickly rises in correlation from a strongly negative level with risky assets again while risky assets experience a sell-off.
Anyway, here’s the chart looking at crisis, and the subsequent reaction in gold and equities.