We report electronic structure calculations of an iron impurity in gold host. The spin, orbital and dipole magnetic moments were investigated using the LDA+$U$ correlated band theory. We show that the {em around-mean-field}-LDA+$U$ reproduces the XMCD experimental data well and does not lead to formation of a large orbital moment on the Fe atom. Furthermore, exact diagonalization of the multi-orbital Anderson impurity model with the full Coulomb interaction matrix and the spin-orbit coupling is performed in order to estimate the spin Hall angle. The obtained value $gamma_S approx 0.025$ suggests that there is no giant extrinsic spin Hall effect due to scattering on iron impurities in gold.