This study aims to evaluate the links among gold price, oil price, exchange rate andinterest rate in Pakistan. All these channels are interconnected and have impact onmonetary policy of the country. Monthly data ranging from 1995-01 to 2016-12 is usedfor the analysis based on VAR Model. Exchange rate depreciations are responded bytight monetary policy actions, which seem to have a significant effect on exchange ratestabilization process and raise gold price. Changes in oil prices at global level stronglyaffect the nexus in Pakistan. Monetary policy managers are suggested to take changes ingold prices as indicators of short-run fluctuations in Pakistan economy. The studycontributes in two ways. Firstly, as a case study of Pakistan, it analyzes the role of goldmarket in response to changes in exchange rate and world oil prices. Secondly, the studylinks up monetary policy decisions to the nexus of gold price-oil price-exchange rate.Findings of the study may be useful for monetary policy makers, academia, and goldindustry alike.