Gold is often considered a safe haven asset providing negative return correlation with the stock market in times of distress, while in more calm periods the correlation between the two is close to zero. We study the dynamic inter-linkage of gold prices and the stock market. Specifically, we model the log-prices of gold and a stock index as jump-diffusive processes, with the jumps arriving with mutually exciting intensities. Hence, the occurrence of a negative shock to the stock index spills over into a higher probability of positive shocks to the gold price and vice versa. To perform the empirical analysis, we consider daily data on gold prices and daily closing prices on the SPX index. Utilizing the knowledge that the moment conditions of the model are computed efficiently in closed form, we use the generalized method of moments to estimate the parameters of the model. We document the existence of cross-excitation between the stock index and gold prices, with the channel from the stock index to gold prices being the most pronounced. Finally, we study the power of the proposed jump model to predict future price jumps and find good performance.